I did and McAfee support ruled out this as a Microsoft notification issue. Microsoft's knowledge article suggested turning off the notification and this went away. This part made sense.
However, the part that is not making sense is why would the fcagte.exe be part of the download process within OneDrive or SharePoint. I searched for the folders being synced with OneDrive/SharePoint and that fcagte.exe was nowhere to be found. I have also reached out to Microsoft - they could not answer my question. McAfee has pointed fingers to Microsoft so this remains a mystery why that fcagte is popping up from time to time in the notification for some of our users.