Hi There,
Yes, you are right about the behavior. Only allow rules can have intrusion or file policy.
The logic here is If the rule action is block, than there is no point wasting resources for intrusion or file inspection as the traffic is being dropped anyways.
A popular way of testing malware is with http://www.eicar.org/ They provide sample malwares which you can use to test malware.
If you need to block malware inside of zip file, inspect archive under advance section of file policy needs to be enabled.
Thanks
Yogesh
Rate if it helps.