McAfee 2010 reviewed by PC Mag

I have enabled early load

 

Still all allowed by default..

 

Seems that they think users should not care about their privacy ...
Blocking outbound access of outright malware is something most firewalls are ill suited for.

I want the outbound filter because I don't want applications to phone home whenever they want.

I don't know much about the current practices of McAfee, but they used to have a cozy relationship with Doubleclick and many other datasharing/selling companies.