I've installed the ePO Agent 4.6.0 (2156) on a newly reformatted Mac with OS X 10.7.2 (Lion). The agent took a long time before it showed up in the ePO, but even after a few reboots, there's no icon in the top system bar.
I don't think this is possible for Mac. When you have deployed Virusscan for Mac the McAfee shield will apear.
Retrieving data ...