McAfee has never been my cup of tea really and I'm quite surprised it fared so well regarding the malicious URLs. Unfortunately, only a few of the remnants were opened, so we can only guess what might have happened.
I don't agree with the opinion to take the decision away from the user though. Countless times AV solutions and firewalls have given me nothing but trouble by blocking stuff – mostly silently to make it even worse – in order to have me jump through countless hoops just to be able to run a legitimate, yet rarely found program.
The user is given all the info he needs in order to make an informed decision and clicking on "Accept" out of a lack of attention should have the result it implicates. Breeding more mindless drones by protecting everybody from themselves just isn't a great development in general. Think before you act, that's all it takes. Have Darwin take care of the rest.
That attempted download of HMP shows perfectly fine how annyoing it'd be if there wasn't a workaround to let it go through in spite of the warning.
The only thing I agree on is the placement of the buttons in the fullscreen browser warning. "Accept" comes even before "Block" and that's a bit misleading. I'd place it elsewhere and probably color it red, with the block option colored green. Of course, it clearly says what it does, so I have to consider it a minor imperfection.