I haven't done this yet, but i remember reading somewhere on here, that you could not copy/export or migrate the policies across, as they are very different systems, though PRP is based on ePO 3.6.
Seeking pro advice for my proposed migration from PRP to ePO 4.0, i was told it would be better to do a fresh build and re-configure your ePO with the groups you want and default settings for polices, and start from there, rather than try to replicate the limited PRP system. Then push out new agents to all your systems and allow ePO to take control of your systems.
Sometimes a fresh build is better than copying old data/policies - a scary thought for any admin.
I had the exact same issue as you did below. I had asked a few mcAfee experts and Mcafee themselves and I couldn't get a preferred method of upgrade so that my existing policies would be preserved. I tested a migration from Protection Pilot to EPO 3.6.1 and as you said the policies do not migrate. As this was the case I decided to do a little more testing. Here are the following steps I took:
1. Migrated from Protection Pilot to EPO 3.6.1 - After doing this 8.5 policies didn't appear. One thing I also noticed is that the upgrade left a lot of legacy files from Protection Pilot so this made me curious.
2. After doing this I upgraded to EPO 4.0 and at the end of the install it seems that it does a legacy cleanup exercise and seems to recognise the old policies. Then it cleans up the legacy files and migrates the policies. The policies then appear in the console and are named using the structure name that they were applied to.
As I said the policies do not appear in 3.6.1 but somehow McAfee have obviously looked at this when they were writing EPO 4.0. I can't remember if it is the Upgrade to EPO 4.0 that does the cleanup exercise or if it is the Patch 2 for Epo 4.0 , but if you migrate to EPO 3.6.1 then right away upgrade to 4.0 and then Patch 2 you should then see your policies. (obiously need to backup your SQL database in between any upgrades / patching)
I have been running this now for a few months and managed to keep everything intact.
I have conduct my tests in VMs, so it was easy to go back and try multiple scenarios.
The big mistake I did is that I installed Protection Pilot 1.5 patch 2 and leaving legacy files for Viruscan Enterprise 8.5
I created some policies to be verified after the migration.
Upgrading to ePO 3.6.1, I was not able to see the policies for Viruscan 8.5, neither after upgrading to ePO 4.0
I've returned back to Protection Pilot 1.5 patch 2, only now I reinstalled the NAP and Reports files for Viruscan Enterprise 8.5... then created some policies. After the migration to 3.6.1, I could see that my policies were there. I started the upgrade right away to ePO 4.0 patch 4, rechecking the files, and all the policies were still there!
I've installed Viruscan 8.7 in ePO 4.0, installed the new extensions, then executing the tool "epopolicymigration.exe" on the server to copy policies from 8.5 to 8.7