When the eicar test virus is downloaded, it is not detected by the Symantec Web Gateway (SWG).
In the case of the eicar test, the file was detected as a file in motion but the file itself was not downloaded.
Internet Explorer uses a smartscreen filter.
The smartscreen filter detects suspect URLs and files and blocks the access or download of the file.
When this is done the Web Gateway does not see the file and therefore cannot block it.
You may disable the smartscreen filter as described in the following Microsoft FAQ: