Mcafee desktop firewall 8.5 doesnt support FUS and terminal services fully see exerts from the mcafee desktop firewall readme:
4. This release does not support Fast-User
Switching (FUS). Using Desktop Firewall with FUS
may cause system problems. This issue is under
investigation.
7. This release does not fully support Terminal
Services. Your Desktop Firewall system tray icon
may change to a red circle with a bar across it
when you use Terminal Services. If this happens,
it means that the firewall is running but cannot
secure your current Terminal Services session.
The "Policy," "Intruders," "Log," and "Options"
items remain unavailable from the Desktop
Firewall shortcut menu until you end your
session.
I think DFW 8.5 is no longer available on its own as its integrated into HIPS so I'm not sure if this will be updated.