I have opened a case with ESET support and this is what they say (I find it really hard to believe this is by design)
The development team stated that, "There was an opposite situation reported as a bug with an older version of ESET File Security version, 4.3.12014. In that case, the issue was that the status remained green even in case when Email client protection was disabled. Therefore, the behaviour reported on version 4.3.12014 was recognized as buggy and it was fixed in the current version, 4.5.12015.1."