Hi @toprobroy ,
Greetings from McAfee.
The Firewall checks the incoming IP address (a unique identifier that helps identify Internet-connected devices) against McAfee Global Threat Intelligence (GTI) database. GTI catalogs the reputations of IP addresses around the globe. IP addresses associated with phishing websites, sites infected with malware, or otherwise malicious sites, have a 'bad' reputation in the GTI database. So, they are blocked from connecting to your PC and show up as risky connections in your McAfee software.
you can also connect to the blocked IP address if you think it can be trusted.
IMPORTANT: Only connect to IP addresses that you know are safe.