This is normal behaviour NOT to have the icon unless you have a device and monitor connected. We will be changing this in version 8 of our drivers to show the icon all the time.
If the monitor is grey, maybe it is simply disabled in Windows. Have you tried clicking on the grey screen and then "extend" your desktop?
We don't use McAfee for many reasons. You can however test the file through VirusTotal for peace of mind. Detected as an issue by 1 anti-virus out of 54 tested demonstrating a false positive.
https://www.virustotal.com/en/file/7...is/1453737259/