The documents folder where my vault resides was somehow pointed to the documents folder on OneDrive and my Vault was moved there. When Microsoft answers sorted it out for me, my vault in my local documents folder was unchanged but it looks like the folder that was a vault in my onedrive is no longer a Mcafee Vault, it just has the same name and properties.
Can anyone suggest how to change the permissions so I can delete this?
The Vault which is located in your local drive can't be deleted or uninstalled since it installs automatically when you install McAfee on the computer. It gets removed only when you uninstall McAfee from the computer. Since the Vault that appears in OneDrive doesn't belong to McAfee, we kindly request you to have a word with Microsoft and they would be able to help you.