MSME is the latest version of the McAfee product line for Exchange.
McAfee Security for Microsoft Exchange is basically a rebranded latest version of Groupshield.
Recommendation would always be the latest - MSME now also has a Patch 1 release and as of this morning there is a further release "Rollup 1" - which is a series of fixes released since Patch 1 (all theee available from McAfee Download site with your Grant Number).
The three roles that provide mailflow and need mail scanners are Edge, Hub and Mailbox.
If you have HUB\CAS or MB\HUB\CAS then you would install MSME since they are combo servers hosting roles that require scanning.
A standalone CAS role server does not require MSME.