The screens are there to remove the air from the oil. By splashing through the screens, the bubbles of air are removed so your engine does not get pressurized oil to the bearings full of air (not good). The scavenge pumps generally have at least twice the capacity of the pressure pump to make sure the engine sump never fills with oil as it drains down from lubricating the motor. This means the scavenge oil is full of air, as the pumps can move more oil than drains down.
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