Actually, the message isn't from Microsoft Edge; it's from McAfee itself. But you needn't worry: Firefox (and your other browsers) aren't going anywhere.
What's really happening here? Well, Windows 10 makes the new Microsoft Edge browser, rather than Internet Explorer, the new default browser in the operating system. Edge has some promise to it as a new option in the browser arena (especially when it comes to security). Unfortunately, at this early point in its lifespan Edge isn't...well, to be blunt Microsoft shipped Edge and made it the default browser in Windows 10 despite the fact that it isn't fully baked yet. One aspect of that: Edge doesn't yet support extensions, and won't until some time in 2016.
And that brings us to why McAfee wants you to not use Edge; to do what it purports to do McAfee needs to run a browser extension in whatever browser you happen to be using. And since Microsoft Edge doesn't support extensions yet, McAfee needs you to stay away from using Edge or it won't be able to "protect your privacy" while you're browsing. Thus, the attempt to kick Edge out of your taskbar and do the other things described.
Really, though, it sounds like what you really want to do is to restore Firefox as your default browser, rather than use either Edge or Internet Explorer. Fortunately, you can do this pretty easily.
BTW, I'm writing this answer in Edge. It definitely has its appeal--the security improvements are quite interesting, and in some ways it's the fastest browser I've ever used. As a Windows Insider tester I'm probably using it for about half my day-to-day browsing at this point, which I say only to show I don't hold Edge in any kind of enmity whatsoever. But at the same time right now it is undeniably still very, very raw.)