Currently McAfee provides extension for Chrome, Firefox and Internet Explorer. The task of McAfee Web Advisor is to warn us when we click any malicious link. The warning comes after a portion of the page is displayed and then the "WHOA" message takes over. Web Advisor can work only with the mentioned browsers. Other than these we have popular browsers like Opera and Edge where McAfee fails to show any warning because Web Advisor extension is not available.
Every other antivirus product have a well have WEB PROTECTION component as part of the main security suite. As a result even thought they may not have extension for all browsers, but those products can detect malicious or phishing links in all popular browsers. Not only that, due to sophisticate nature of Web Protection, we have lot of customization like - Heuristic detection, In-The-Cloud Analysis, Scanning HTTPS links, Scan for PUPs, Abort connection on threat detection.
I personally feel that these options are very essential in new generation antivirus products and should be included in McAfee as well.