I never had a microsoft security icon in my taskbar;  but I assumed that's because I already have the mcafee security icon on the taskbar.

If you mean the security center alert icon in the system tray (or notification area as MS calls it) at the right end of the task bar, I think that only pops up if it has something to tell you. You can open security center from control panel.

It will go away if you right click, open, and then change the way Winodws alerts you about firewall, virus protection, and automatic updates. In other words if you uncheck these three options the Icon will dissappear. Have you done this?