Hi   !
May I suggest that you contact   Kaspersky customer service;   they should be able to clarify that.
support.kaspersky.com/b2c

moved from Firefox Desktop support to the Firefox for Android queue

Patekar said

Hello, We have Kaspersky as an anti-virus program. Apparently Kasperksy doesn't protect Mozilla on android. Is this normal? Thanks in advance! patekar

There is a Kaspersky for Android also whoever I am not sure if it has any integration with web browsers including Firefox. http://usa.kaspersky.com/products-services/home-computer-security/security-for-android/

Per their help article:

Web Protection in Kaspersky Internet Security for Android checks websites before they are opened and blocks access to websites that are considered malicious and phishing.

Web Protection only in default Android browsers and is not compatible with other web browsers. Starting from Android 4.2.x, Google Chrome is a default browser. In earlier versions, the feature used Android Browser.

Source: Web Protection in Kaspersky Internet Security for Android

Kaspersky might be able to update its program to intercept communications from other apps (as it does on desktop operating systems), but it would depend on whether Android's security model allows that. I really have no idea. Who would you trust to be the "man in the middle"?

Actually, this does seem to be a feature, through the proxy setting of wi-fi connections, based on this article: https://support.kaspersky.com/4445 (first screenshot). But functionality may be different for "supported browsers" and "all apps."

(Note that Adblock Plus also uses proxy settings (https://adblockplus.org/android-about) so only one of them would be likely to work at a time.)

I'm not aware of a way to intercept web requests to mobile networks using proxy settings (the device should stick to the carrier settings).