smitty115, are you RDPing into the servers? If you are, you will need to run the agent form the command prompt. The red M should be shown when you enable the "Show Agent Tray icon" in the respective ePO McAfee Agent policy.
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And, just to clarify, this behaviour is as designed: the agent tray icon is not shown in RDP / terminal services sessions.
I got our SCCM guys to drop a shortcut batch file on the desktop of All Users. a different one based on 32 or 64 bit OS.