It has many options with it, you can tell it to just automatically so what it thinks is right, ask you first, ask you what you'd like it to do, stuff like that.
It also has parental controls and pop up blockers and things that you can enable or disable and set various options for.
I use their Internet Security myself has a firewall and antivirus and have been quite happy with it for quite a few years.
I don't think it has ever completely let anything in, it can usually kill or delete anything that crops up but you do have to get all your options right if you want it to let you know about anything trying to sneak in and let you decide what to do.
I have it tell me about everything it finds and I decide what to do then it does it. You can set rules and all kinds of options with my version. I think just the antivirus is a bit simpler but should have a bunch of user options as well so maybe you've just got one set some way that it doesn't ask or ignores the problem files.