OK, I found a solution, don't know how I did not figuire this out before. I have to admit that it's strange because VPN is considered as INCOMMING instead of OUTGOING. However, when opening port 1723 (Incomming) and allow VPN server IP to connect to this computer it started to work.
However, still do not understang IN / OUT logic.
We would recommend you to follow the steps in the below mentioned KB Article.
After hours of frustration I finally got McAfee support to explain it to me:
1. Open security center (www.mcafeeasap.com) and log in
2. Click on Policies | Add Policy| Firewall Protection | Administrator configures firewall
3. Change firewall protection mode to Report mode
4. Custom Settings | Edit
5. Check mark ALL - File and Print Shareing, Remote Assistance, Remote Desktop
6. Seclect any computer
7. Add Connection
8. Go to --> connection name (enter a name)
9. Allow the port TCP 1723 (and maybe 1194)
10. Click OK
11. Save the changes
12. Apply the policy to your computers
On the desktop click the M-icon on the system tray and run a manual update and test.
BUT HERE IS WHAT THEY FORGOT TO ADD!
After it works go back into the security center and change the firewall protection mode back to Protect, and do the manual update again. This will re-engage the firewall but will still allow the PPTP VPN to go through. If not in Report mode it does not block it only reports!
It took a phone call from Gold Business Support to get this final step out of McAfee!