You mean before with no McAfee you got these showing the windows firewall logs?
Not as far as I know sorry support might know though you may have to escalate the question as Tech level 1 might not know. Only what you see in Security history visible not extractable
"How can I extract logs from the Firewall with McAfee"
Using McAfee, you can open the McAfee UI/Navigation/Security History/Logs will appear.
It may take a minute or so for the page to load, but it will.
You can also beside (Show) click the drop Down arrow, and select Scans Run/Ingoing/Outgoing Connections blocked/Virus and other threats detected.
I might add, like PK said you can only view the logs. As far as I know of.