First that popup not from Mcafee I would assume you have malware injecting those ads into the page you opened. I hope you did not click o the links
Every AV is not 100% coverage as some malware needs to be seen by McAfee and the other AVs to be included in the detection listing. That is why McAfee has getsusp (see free malware tools link below) run it and let it send any files it finds to McAfee. Include your email address in its preferences and also run Malwarebytes (free not the free trial) as well as adwcleaner.
see what they find.
Volunteer Moderator - Consumer Products
No unrequested PMs please
How To Uninstall/Reinstall McAfee Consumer Products EXCEPT Anti-Theft
How To Submit A False Detection To McAfee
Free Anti-Spyware/Malware/Hijacker Removal Tools
Moved to Malware Discussion > Home User Assistance > Discussions - By Moderator
You may also find these two articles most informative :PUPs - Potentially Unwanted Programs - Basics
If I may add, to the excellent advice colleague Peacekeeper suggested. McAfee Getsusp is a Superb Tool, in which I make a habit of periodically scanning with for possibly Suspicious/Unknown Programs, in return it adds to the McAfee GTI Data Base.
You can also (Keep onboard) Malwarebytes (Free) as a compliment to your Anti-Virus Protection, as it is compatible.
As long as you never activate the (RTS) Module. Simply always Update each time before scanning.