From my experience, VSE ignores the setting if there isn't anything else on the box requesting CPU time. In that case, it will yield to other processes. (There have also been many posts over the years on the same subject)
We have the same problem here, driving us slightly mad as its impacting users when the scheduled full scans run.
My thoughts are that it seems to have been a problem specifically since the On Demand Scanning tasks stopped running under the scan32.exe/scan64.exe threads which the Low/High priority setting does set, unsure which Patch release this change appeared in possibly Patch 5?
Scanning (on access and on demand) now seems to run completely under the mcchield.exe process which just hammers the CPU to death and renders users machines unusable until the scan completes or is forced to stop.
Is there any acknowledgement on McAfees part that this is an issue? I don't see that a new feature request should have to be raised to resolve something that did used to work and now doesn't as a result of them changing the product and the way scans are run!
Looks like this behavior was changed with Patch 5. We went from Path 4 to Patch 7 and having same issue with high CPU.