I also have AVG
Lately when I do a scan it finds no tracking cookies or anything, and usually a few slip through.
I've had this happen with every A/V program I've had, they catch everything at first then it seems they get more relaxed and dont recognize some.
My computer will use little resources @ first with a new A/V then slowly but surely it uses more and more till I switch programs and it starts all over.
They all have their bugs, but AVG seems to be the best so far.