In Mcafee, on an endpoint whether scan engine version can be directly upgraded from 5600 from 5800? Can 5700 upgrade can be skipped?
Yes you can go straight to the latest engine.
Any compatibility issue regarding ePO 4.6.6 and scan engine 5800? whether scan engine can be pushed from 4.6.6 ePO console? Also whether scan engine 5800 can sit on an endpoint where VSE 8.8 patch 1 or 2 is installed?
None of those items matter to the Engine. It'll install just fine.