People really need to distinguish between viruses and trojans (and worms and adware and all the other crap out there.) "Malware" is a sort of catchall for everything bad. With that said...
There is nothing in the world that can stop an administrator from running a program that screws up a computer. Nothing. No Mac magic, not UNIX überness. Your computer is generally only as secure as its administrator.
So what do we have here? Something that scans an item at execution time and says, "Hey, this is probably very bad." Is there a problem with this? It can't stop someone from saying, "Nah, install it. Oh yeah, and here's my password to approve the measure."
While I'm sure market share increases the number of viruses out there for Windows, I'm not sold on the idea that it's the primary factor for all the junk that's written for Windows. While Windows dominates the desktop world, it does not dominate the server world. Things like "Code Red" don't happen with any regularity in the UNIX world.
Is OS X invulnerable? Nope. Is it "more secure" than Windows and have a better security model? Yeah. Is this malware scanner thing a bad idea? I don't think so. (I don't know enough to be sure, but as long as it's not gonna pull a McAfee or Norton on me and become more of a beast than any virus, I'm good.)