The only time you can add something to an exception list is when it is identified as a PUP (Possibly Unwanted Program) and the software will offer that option. It is something that we Moderators have been begging McAfee to reintroduce to the home software since they took it away about 7 years ago.
In the meanwhile there are things you can do if software is being incorrectly identified as malware.
The exclusion you were asking about is for real time scanning. You can add folder and file exclusion to both scheduled and custom scanning. this is done by clicking on real time scanning at top of the GUI and them scheduled scan settings. For custom scans click on scan my PC and choose custom scan and set the exclusions.