No, it's completely unnecessary, Windows 10 comes with its own antivirus software called Windows Defender, which is completely free. The version of McAfee is a limited-time free version, and you have to pay after that, they are hoping to have you pay them a yearly renewal fee. Defender is an average good antivirus, probably as good as McAfee, or slightly behind. If you uninstall McAfee, then after the reboot, your computer will automatically be protected by Defender instead, as that comes preinstalled on Windows.
There are also other freely available antivirus available like AVG, Avira, Kaspersky, Trend Micro, etc. They all offer free versions of their antivirus, which lack only a few unimportant extra value features from their paid versions. They also from time to time come up with nagging advertisements asking to buy their paid versions, but that's completely unnecessary and you can ignore it. These ones are slightly better than Defender or McAfee.
As for what are "bad connections" that's simply connecting to a website without you being aware of it. For example, if you go website A, that website might have some small ads or banners coming from another website B. So you explicitly went to website A, but you had no intention of going to B, but A automatically connected you to B. Now, website B might be completely innocent, nothing wrong with it, even though you didn't ask to connect to it. What McAfee is telling you is that it scanned the secondary website before letting you connect with it, and gave it an all-clear. Is this a good thing? Sure, but it's not like as if other antivirus mentioned above can't also do that. Plus it's not always desirable to have that happen, because pre-scanning the website prior to displaying it on your screen slows down the surfing experience. It's a trade-off between speed and security. Getting infected from a bad website is pretty rare compared to downloading something from a bad website, so usually as long as you don't download anything from an untrusted source you are pretty safe.