Not serious. McAfee will detect them and get rid of them if you want; most cookies will also be deleted by a disk cleanup program like CCleaner. Of course, they do track your progress on a website, which you may not want; or across websites, which you may very definitely not want. Depending on your browser you can ask to opt out of being tracked, but that depends on the advertiser accepting and obeying your opt-out request. Better to tweak the firewall settings to tell McAfee to block them before they can be placed on your system in the first place.
I was wrong, it's not in the firewall. At least, not in Internet Security 2010. It's under Real-Time Scanning.
Open the Security Center (click on the McAfee shield, bottom right) and click on Real-Time Scanning, then on RTS Settings. The Settings will display : scroll down to Threats and make sure the Tracking Cookies box is checked.
If your McAfee installation doesn't have this section one of the other mods will have to point you to the right place.