Better look at GitHub - Evengard/cntlm: Cntlm is an NTLM / NTLM Session Response / NTLMv2 authenticating HTTP proxy intended to help yo… instead of sourceforge. It has the latest sources (2016).
Question is if McAfee Web Gateway supports Windows SSPI for NTLM, that is one of the latest additions to cntlm.
If you're looking for an application that can take care of authentication, MCP would be an option as well.
MCP doesnt do NTLM, but it does take the currently logged on user and relays the credentials to the MWG.