Malware-gen is not Mac malware, it's a generic detection for some kinds of Windows malware. This could be a false positive, or it could be detecting something attached to an e-mail message or the like. It's not a threat to you.
Pirrit is adware. If you're infected with that, Malwarebytes will remove it for you. If, after scanning with Malwarebytes, AVG is still detecting components of Pirrit, they are probably somewhere like in your Time Machine backups. In that case it's doing the right thing by not removing them - which would corrupt your backups - but it really ought to either not scan your backups in the first place, or give you information about why it's not removing files from your backups.