Because if this has been triggered by javascript in a poisoned advertisement on a webpage - otherwise safe - that you are visiting then, as long as no files are being modified and no known-bad site is being called up, McAfee is unaware of anything wrong.
The fault here probably lies with one of the websites you've got open. My guess is Fox News, because news sites sites are stuffed with adverts from external sites over which they have no control. They just keep open advertising space on the page and lease it - in nanosecond real-time - to one of the ad networks.
Yes this is obviously a scam warning. I'm sure you realised that at once. But it's not McAfee's fault you saw it. I suggest you use an Ad-blocker, even though the news corps hate them (losing advertising revenue). Well, too bad. The whole online advertising ecosystem is badly in need of an overhaul because you just can't trust the content any more.