I am not a Mac expert but it was necessary to figure out why I kept getting this message. I had configured a straight forward PNP device rule and checkmarked DLP for WIndows & Mac. I received this...
1. Go to DLP Policy Manager > Definitions
2. Duplicate your Windows Plug and Play Rule already configured for Windows.
3. Edit your copy of the PNP Device Rule. Name the rule and configure it for Mac.
4. Save your new Mac PNP Rule.
5. Go back to the DLP Policy Manager
6. Select your Windows Plug and Play Rule again.
7. Click the Device Control tab and click your device rule hyperlink.
8. First tab, locate ... and Plug and Play then select the ... button located on the right as shown.
9. Select the newly created Mac PNP rule.
10. It should look similar to above. Now you have one PNP rule for Windows and another for Mac.
11. Select the McAfee DLP Endpoint for Mac OS X checkbox and save your session out.
12. If all is well you should have success!