When you have set Wordfence to scan all files, using the various options in the “Scans to include” section of the Options page, it does check each file. The “high sensitivity” option may generate false positives and can make scans take very long on common inexpensive hosting plans (or the scans may even get stopped by the host), so it is not enabled by default.
But malware authors are always coming up with new ways of hiding what their code does, so Wordfence is constantly adding new patterns of malware files as they are discovered. If you have identified malicious files that are not found by the current version of Wordfence, can you send them to us? The address for this is: samples (at) wordfence.com
Thanks!
-Matt R