You may be able to test whether the AVG is scanning the e-mail, or not. Send one to yourself and see if it says anywhere "Scanned by AVG".
I get e-mail from some of my friends that is marked so.
1. Dimension C521; Athlon64x2; 3.25 GHz RAM; 320GB HD; 256MB Radeon X 1300 PRO ; Windows 7 PRO - 32 bit; Windows Security Essentials; Firefox v3; MS Live Mail; MalwareBytes Antimalware.
2. Studio XPS 7100;Studio Phenom II X61055T 2.8GHz;8 GB RAM;Radeon HD 5450;1 TB HD;Windows 7 PRO- 64 bit; Windows Security Essentials;Malwarebytes Antimalware; MS LIve Mail; Firefox v4; Acronis True Image 2011, RollBack.