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This could be caused by any number of things. When did you notice the issue?
An initial good test would be to test it VSE updates the content locally if you download the DAT from here: https://www.mcafee.com/enterprise/en-gb/downloads/security-updates.html
If this works, then this proves that VSE is working fine and something with the agent is likely involved. Check this first, if this works, I would point you towards the McAfee Agent Team to help you. You can start yourself by looking at the McAfee Agent Logs found within %ProgramData%\McAfee\