Consumer Protection was added in Category Set 4. Is there a chance that you are still running on Category Set 3? Do you see a button to migrate to Cat Set 4 under the configuration tab?
No, I can't see any such button; our appliances were installed by our McAfee resellers only a few months ago, it should be using the latest category set - the Category Set 4 categories are visible in my category lists, but its almost as if no sites are under those categories. Is there any way I can definitively find out which category set we are using?
Just to update everyone this problem was fixed by updating the appliance software:
Configuration --> <select appliance node> --> click Update appliance software button