I have read your post.
McAfee does not have any conflict with the favorites folder. Obviously McAfee SaaS will not block you from copying the IE favourites. Hope the settings you are trying to move is from IE 8 to IE 9. I would like to recommend you to please get in touch with the Microsoft regarding this issue and they will be able to help you in this regard.
the first thing to do is allways to disable anti-virus and firewall software. This is the first troubleshooting step. Then you will see immediately if the AV software is responsible or not. however in this case i have to agree with Ravi. In last 2 years of using Saas I have never seen or heard for issue where McAfee SaaS would not let you copy favorites.