The file server virtual machines (ZFILEMGR2 or ZFILEMGR3) is either a Linux or Windows based file server, and does have anti-virus software installed and running on it. All files on the shares (typically the most likely vector for viruses on the server) are scanned for viruses.
Other virtual machines, including IaaS (infrastructure-as-a-service) virtual machines that are just an operating system for you to deploy any 3rd party applications to, do not have anti virus software installed on them.
All traffic from the WAN interface is also in-line virus filtered by the anti virus component which runs on the Gateway Control Console. This ensures that all traffic is scanned before reaching any virtual machines or client devices on the LAN.
It is possible to install your own licensed anti virus software on IaaS virtual machines, but most of our customers do not, unless there is a particular vulnerability that needs it in the application that they are installing.
However, we would always recommend anti-virus software is installed on client devices such as PCs – both to protect them off-site when on other networks, and against payloads delivered over encrypted connections and via other media, such as USB etc.