After deleting the McAfee Desktop icon and restarting your computer, you may notice that the McAfee icon has been recreated. Please follow this document from here will help you from desktop icon from reoccuring .
McAfee Online Community Moderator
Have you tired the above trouble shooting steps provided by Dinz ?
I've made this topic an item on the agenda for our next conference call with McAfee management on Monday next.
It's also an issue with the beta 2011 product.