You will need to code that from scratch. You will probably need to create a registry check. Take a look to this example: http://www.itsecdb.com/oval/definition/oval/gov.nist.fdcc.vistafirewall/def/6528 /Apply-Local-Connection-Security-Rules---Private-Profile.html
Try to find something similar in mcafee built-in checks, export them and modify to meet your needs, then import them back.
Typically, the Mcafee content will focus on checks which map to existing industry compliance standard benchmarks. Some examples would be CIS, PCI DSS, and more recently STIG. Unfortunately for your situation, none of those benchmark source documents audit that particular setting.
If that setting has a related registry key, you could use the Windows Registry Value Check to audit the exact key and value. But looking around I was unable to find an associated reg key for that policy setting (as is the case with various other GPOs).