Mcafee interface does use IE to create the interface at least the old one did. The popup box you are missing is old code so something is stopping it displaying. I thought a popup blocker as well but the tech mentioned below said no as well.
In our moderator/helpers call today the tech said this issue has been seen in several other user's installs and is being looked into.
Glad I'm not the only one. Hopefully they can resolve the issue.
While we wait what is the PC specs of the PC that is showing this?
Win 10 64bit
CPU-i7-4770K
16GB RAM
DirectX 12
Video- GeForce GTX 980Ti
That is close to my PC specs (4790K) so Pc specs not an issue. This better passed onto support Link down the bottom of teh page though i feel you will have to ask for an escalation call back by a higher level support tech as this is darn strainge.
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