McAfee firewall is probably running as a service in windows. Right click taskbar and open task manager. Go to the services tab and at the bottom open services. Look for the McAfee Firewall service. Stop it and disable it click apply and start defender firewall. You will then need to find some info on finishing the uninstallation of McAfee firewall. McAfee does have a cleaner tool.
Did you also check in programs and features in old control panel to see if it is a separate entry in the remove list?
Or in apps and features in settings.