Hi @benchapli75,
Sorry for the inconvenience caused and for the late reply. From your post, I believe, you refer that M icon (McAfee Icon) on menu bar shows “mac is at risk” status when you click on it. If your machine is running on MACOS 11 Big Sur, it may be an indication for Firewall is not available in McAfee software, to know more click on the below article.
Big Sur
I would also suggest you to open your McAfee software, and let me know what does it say. Please provide us with screenshots and let us know your MAC version, so that we can check and assist you further on this issue.
Regards,
Allwyn I