It almost sounds like you are trying to set a local exclusion for a managed system, and your McAfee ePolicy Orchestrator (ePO) system administrators have defined (via policies) to overwrite local VirusScan Enterprise (VSE) client exclusions, including the one you are trying to set.
If you suspect this may be the case, then please contact your McAfee ePolicy Orchestrator (ePO) administrators and inform them of your new scan exclusion so they can include it in the policy being enforced on that system.
Otherwise, check with your ePO administrators if you can make your system an unmanaged node so that you can maintain your VSE client exclusions separately from managed hosts.
Hope this helps.