VSE policieshave two parts, one half for Workstations and a second half for servers.
Have you set the Server half of the Policy to display the system tray icon?
Volunteer Moderator - Business Products
Certified McAfee Product Specialist - ePO
Are you asking why you can't see the McAfee Agent icon when using TS? If so, the tray icon will only be displayed on console or local sessions (KB60750). You can start the tray icon manually.
Otherwise, we'll need to see the agent log in order to help. You can find the agent log here: %programdata%\McAfee\Common Framework\DB\Agent_<machinename>.log
Yes, I read in the TS it happens.
Thanks for the tip !!