ISE job is to provide protection against Man in the Middle attacks by verifying the certificate of the website.
Secure shopping is for protection against data-stealers which try to steal credentials, take screenshots, etc.
The web filtering module is supposed to protect, but I think the web signatures hasn’t been updated in over a year, it won’t block anything now. For web protection you should use an extension like Avira Browser Safety (renamed to Avira Safe Shopping) or Bitdefender Trafficlight.
I heard somewhere that Comodo is working on a new website filtering though, but I haven’t heard any updates from it in a while.
It has the reputation of various websites, which can catch unknown phishing better, although I don’t think it blocks high risk websites automatically. You will have to check the website report manually.
Anyways this is going off topic so I will leave it here.