I think it varies depending on what device you are using to locate the other one.
If you go to mcafeemobile.com and log in there, click Find My Device, there are 2 buttons, Locate, which merely locates on a map, or Device Message which sends a message. (plus backup and wipe, etc.)
As I don't own a Smart Phone I was testing this using my iPad and no message was sent when I merely located it using my PC.
Maybe Technical Support would be best for you:
Am curious to know if GPS and/or Mobile Data was turned ON which locating.
Thanks for thinking with me. Yes, everything is turned on, GPS, mobile data, wireless..And as a reference: when I locate my devices with google/android devicemanager on the internet it works great via Google Push. Only McAfee has started sending text messages to locate my devices a while ago. This applies to Galaxy S4, S5, S7, Tab 10 and Tab Pro 10. Even when I've explicitly confirmed Google Push in the Livesafe app on my devices.
How are you trying to locate your device? There are essentially two ways to locate your device from the web.
Login to any one of the two links below select the device you would like to locate and click on locate.
I tried to locate my Android Mobile never received any text message in both the scenarios on got the location of the device on the Map.
Alternately a secure locate [PIN] can be used to locate your device
For example, if your PIN is 123456, then send Secure locate 123456. After your message is delivered to your device (lost), you will receive a text message from your device with the link to your (lost) device's location.
However in none of the above mentioned options the lost phone receives a message.