You can export the shared key from SaaS under Web Protection > Policies > McAfee Client Proxy Policies:
Once you set the password you should be able to export this and import it into EPO, you will then need to manually enter the customer ID and shared key into MWG.
I talk about all of this over on the MWG community:
you are right. You can export the EPO settings and import it into EPO. But i don´t know the password. There is no option to define the MCP password in the SaaS GUI.
In MWG i´m not able to import the file. I have to insert the customer ID and the shared password manually.
Therefore i can´t use one MCP shared password for OnPremise and Cloud.