Moved to our SaaS area for better attention.
I understand from your post that, McAfee was not updated properly so you uninstalled and tried to reinstall all the features. But the Firewall Protection is still there in the Control Panel and you not able to proceed with the installation. Please find my suggestions below regarding this issue.
Kindly use the following link to uninstall the McAfee SaaS Endpoint Protection traces completely from your computer.
You can also use the following article to know, how to remove the McAfee SaaS Endpoint Protection.
After removing the McAfee traces completely from your computer, please try to reinstall it and try updating the McAfee.
If you still have any issues in updating the McAfee, please keep us posted so that we can help you with this issue.