Is it naughty to include it here?
Here's what I get: http://i.imgur.com/JQzVsQf.png
This was picked up by the on-access scanner and a manual scan. The Web Protection doesn't complain about the text in a page (rightly or wrongly).
Are you using a centrally managed version (i.e. not Home Edition)?
A scheduled scan would pick this up eventually.
Edit: Seriously, Microsoft?
Description: This program is dangerous and replicates by infecting other files.
Recommended action: Remove this software immediately.
>Anti-virus programmers set the EICAR string as a verified virus, similar to other identified signatures. A compliant virus scanner, when detecting the file, will respond in exactly the same manner as if it found a harmful virus. Not all virus scanners are compliant, and may not detect the file even when they are correctly configured.