The DXL client will be automatically installed on managed systems with McAfee Agent 5.6.0 or later. I hope you are using MA 5.6.X.
McAfee Agent 5.6.0 bundles the McAfee Data Exchange Layer client as a component.
The DXL is installed automatically with MA 5.6, there is no option to 'not install' or 'remove DXL. If you wish to know how to prevent DXL clients from connecting to a broker after MA 5.6 install, then I recommend that you read this Article KB91155. This could be of good help.
Read The Article for FAQ's about DXL KB90414
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