Actually, McAfee technology does stop alot of this, and other controller traffic. But you need SIEM, and/or NSM in order to incorporate the GTI, and other known threats. ePO is endpoint protection, not a network component.
I'd recommend you FIRST write out your USE-CASE. Take a look at this:
We are not looking to buy anything else, Zscaler is doing a good job, I'm just checking whether the users McAfee Virus scanner we have deployed through ePo should be protecting us against things like Spyware callback and if it is how do I check what ePo Spyware policy is helping protect us?