Right-click on the shortcut and select "Run As Administrator".
Also, if trying to access the console remotely, make sure you are using the FQDN in the MSME URL, otherwise you will likely get:
"The McAfee Security for Microsoft Exchange is not currently available. Please try again later."
If you only use the hostname as below, you will likely get a Certificate error (address mismatch):
It's important "From my expierence" to keep the ICON and LINK Mcafee provides as it is:
You may get a certificate Error but this would be the CLEANEST way of opening it. Esp. after Updates or Migration to newer version on the Server itself with the LOCALHOST.
If you fully understand the security concept behind it you can change things but be sure to keep it locked down.
URL to open it regulary: