I have had the same problem of the red X on the taskbar Mcafee logo and the prompts that I was unprotected for a week now. It was constant (every five minutes or so) and updating didn't alleviate the problem. I have finally fixed the problem but I'm not sure which step fixed it.
(Before I start, let me say that I was running my Mcafee SsecurityCenter previously with the SystemGuards disabled. There was a conflict with SystemGuards and logging on to AOL (Yes, I'm still on AOL) and it just made it easier to leave it off).
Here's what happened.
I went to Start>Run>Services.msc and tried to manually start (in the "Properties" dialog) the Mcafee services that were stopped. I would get error prompts that would not allow me to do so. So I went into Safe mode and tried to do the same thing, and got the same results (error prompts). I then restarted back to my normal startup and the Mcafee program said I was protected. I immediately went into the Mcafee program and re-enabled my SystemGuards (open Mcafee SecurityCenter>Protection Status>Computer and Files>Configure>SystemGuards).
It has been 20 hours and no "unprotected" prompts or red X's. Like I said, I don't know exactly what happened in this series of actions to make it work correctly, but that's exactly how it happened.
I'll write back if something changes.
Windows XP Home Edition SP3
McAfee SecurityCenter