I've been having the same problem since the last software update. It is driving me mad as i dont like icons on my desktop. I tried hiding it, but it just comes back on the next re-boot. However it is only an icon! It's not like the program itself is not working. That is doing its job just fine, and i'm still happy with it. There is no way i would stop using a product i have used for about 5 years just because there is a bug in showing their desktop icon. Thats just riddiculous. They are aware of the issue and it will get sorted, in the mean time, having an icon on my desktop wont suddenly cause my computer to spontaneously combust......I'll live with it!
According to McAfee management post here: https://community.mcafee.com/message/221195#221195
"We already fixed both issues (The icon and the Start Menu entry wont delete some people are experiencing also) and the build is currently in QA. There has been so much talk about testing, so we are doing a lot of extra testing per your requests. If the testing goes well, we should have the patch deployed middle of next week."