malawi_glenn and genneth did a good job explaining the gauge symmetry part. That's a subtle issue about the global vs gauge symmetry - it has lead me to make more than one mistake here, on a QFT exam solution set (yikes!), and worst of all, in my own research! So don't feel too bad if you don't understand it.
Moving on to "the most important part of [ophase's] question":
WARNING: this might get complicated. If it confuses you, I'm sorry. Don't worry too much about it.
Scale symmetry (x\rightarrow\lambda x) is a very tricky subject. CLASSICALLY, this is a symmetry of any theory of massless fields, but the problem is that QUANTUM MECHANICALLY, this symmetry is broken! These kinds of symmetries are called "anomalous symmetries".
The way this materializes in the real world is that if you start with a "scale-invariant" theory that has no masses in it, the problem is that the couplings themselves depend on the energy! Example: if you measure the electromagnetic charge of the electron (e) at rest, you get:
\alpha=\frac{e^2}{4\pi\epsilon_0\hbar c}=\frac{1}{137}
However, if you measure the electromagnetic charge of the electron moving with an energy of 100 GeV, you get:
\alpha=\frac{e^2}{4\pi\epsilon_0\hbar c}=\frac{1}{128}
So we find that the coupling gets LARGER as the energy increases! This breaks the scale invariance and is due to this "quantum anomaly" I mentioned.
So even massless theories typically do not have scale invariance, except for some VERY special examples, but they are rare.
I do not understand your question about SUSY. Supersymmetry is another spacetime symmetry, different from rotations, translations and scale transformations. Maybe you can clarify?
Anyway, I hope this helps and doesn't confuse. But this is why scale symmetry is treated a little differently than ordinary translations/rotations.
Note Added: Hey, while proofreading this post, I got a sudden rush of deja vu! ophase: did we have this conversation before?!
