Moved to VirusScan Other where all MAC protection queries go, for better attention.
After reading this discussion
I think to have solved the issue.
There is an incompatibility between "Application Protection" feature, and Mac os firewall (activated before to install McAfee I.S. for MAC).
I have deactivated the Mac OS X firewall and now seems work fine.
That's good. I'm afraid I know absolutely nothing about it so hopefully someone will spot this and add their input soon.