Why do I still see the McAfee icon after deleting it on my MacBook Pro?

Start here: How to install, set up, uninstall McAfee software on macOS

Scroll down to Uninstalling your McAfee software which suggests reinstalling the junk for the sole purpose of uninstalling it the way they expect you to. Note those instructions don't make sense and cannot be followed as written. Also note the conspicuous lack of installation instructions for the current macOS version — another characteristic of junk. Enough said.

Assuming you remain at a dead end, EtreCheck may help to identify its remaining components so that you can eradicate them:

How to use the Add Text Feature When Posting Large Amounts of Text, i.e. an Etrecheck Report - Apple Community

I suspect you will find them lurking in /System/Library/ but post the report.

As one responder so aptly put it on how to avoid these problems, "Don't install crap".

Have you tried a restart? If that fails, get the complete install instructions from the McAfee site. Then reinstall the app. Then uninstall the app with the correct uninstall instructions.

Many times an incomplete removal will leave tags and you just have to start over.