Just want to clarify how does the Secpoint Penetrator able to detect a malware on the system?

What is the approach and what engine it uses to detect malwares?

Yes if it comes in via the Network.
The customer still need a malware scanner on the PC to protect from USB disks.

What is the approach and what engine it uses to detect malwares?

Only if they open services/ports.
Penetrator scan over network
If something on hdd you need antivirus to scan locally.
But most antivirus is not effective.

So you need use our Protector UTM Firewall with Intrusion Prevention module to block malware before it even gets to the hdd.