If you installed Norton's Directory Assistance II on your computer, what you describe can happen. It attempts to override the Finder and lets users open and save from other directories. Removal of Directory Assistance II or similar programs is necessary for At Ease to properly prohibit this from occurring.
Note: The same is true for other programs that access files without using standard file manager. They, too, will be able to view the disks contents without regard to At Ease security.