You try the following:
I haven't seen that option; so, my guess is No -
I think you might be referring to the VSE shield, rather than the MA shield? When you install VSE without MA, you get a different shield with a different context menu.
When you install MA, it puts it's own shield in the systray and takes care of the VSE options. I haven't tried this (I don't use VSE anymore), but I presume that if you configure your policies so that it won't show the Agent icon (McAfee Agent --> General policy) but will show the VSE icon (VirusScan Enterprise --> General Options policy), you'll get the result you're after.
I've experienced this myself, and found that it is a bug reference in KB89123 https://kc.mcafee.com/corporate/index?page=content&id=KB89123 . Apparently the fix is due in Patch 10, which does not have an eta.
Under VSE Patch 8, we have the McAfee Agent policy set to not show the agents tray icon, and the VSE Shield icon is shown as expected.
Under VSE Patch 9, the VSE Shield tray icon is removed. As we would like to deploy patch 9 so as to support Windows 10 Creators Update, I'm going to enable the McAfee Agent tray icon. Unfortunately this will require a notification to our end users about a change in apparent functionality so that they are aware.
It is disappointing when things like this happens, the removal of what we would see as normal behaviour and the expected delay in a fix. So sorry, no good news.