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I just did the same thing to my photos folder in my usb stick the folder shows up and is still there after I close McAfee and reopen it.
If it is disappearing best to run MVT below and see if it finds anything amiss then call support note the session number MVT throws up.
Never mind. I restarted my PC then went through the process again and it sticks now. Man, so f'n buggy lately!!!
I was just about to suggest to do a 'Restart' . Or set the settings through Custom.
Glad that all is okay