Go to McAfee Agent icon, right click, McAfee Agent Status Monitor, click Collect and Send Props. You would then want to look for the line "enforcing newly downloaded policies" which will indicate that the agent detected new policies and is now enforcing those policies. Note, that there is no need to click every button in the agent status monitor. If there are new policies, events to be sent, or policy enforcement to occur, a Collect and Send Props will do it.
As pointed out above, you can also do the same from the command line. Go to c:\program files\McAfee Agent (for new MA 5.0.x installs) or c:\Program Files (x86)\McAfee\Common Framework\ (or no x86 if on 32-bit Windows for all MA 4.8.x and upgrades from 4.8.x to 5.0.x installs) and use the cmdagent.exe tool.