Please understand that it is not McAfee's intention to prevent you from changing your startup items. But, the goal here is to protect users from malware/viruses which tries to disable McAfee's Real time protection without the user's knowledge.
'McAfee Real-time Scanner' service has special protection to disable malware from changing it's configuration. When you click ok, 'msconfig' tries to open/save the service configuration and thus results in an 'Access Denied' error.
'msconfig' is incorrectly trying to modify every service setting when 'OK' button is pressed which is triggering the error dialog. It probably shouldn't do that if you haven't changed the specific McAfee service.(To my understanding MSCONFIG by design resets the whole startup items whenever you change one or more of them.)
MSCONFIG is for troubleshooting, not for controlling startup processes, although many techs/ tech gurus/forums have advised customers to use it that way so they don't have to teach them to learn how their programs work.

happy