How vulnerable should I feel ?
McAfee won't make you much less vulnerable... it pretty thoroughly sucks on the Mac.
As for ransomware, currently there isn't any on the Mac. As has been mentioned, there was one - KeRanger - but it is extinct at this point.
Still, new ransomware could appear at any time, so you need to be prepared with good backups. Time Machine is a good start, although it's better for more generalized data loss, and not ideal against ransomware. It is possible for ransomware to tamper with Time Machine backups.
There has been some speculation that Time Machine backups can't be modified, but that's not actually true... I've known people to delete files from their Time Machine backups in the Finder, which can pretty thoroughly screw up the backup as a whole, often requiring erasing the backup drive and starting over from scratch. So it would definitely be possible for ransomware to damage your Time Machine backups, if they're connected to your computer when ransomware strikes.
My solution is to use Time Machine - for its convenience - as a primary backup. I also maintain a couple other, separate backups made with Carbon Copy Cloner. One of those always lives in the safe deposit box at the bank, the other is hidden around the house. I keep the one here updated frequently, and about once a month or so, I swap them, so the one in the safe deposit box is never more than a couple months old.
This protects me against ransomware, as well as against all manner of other threats - theft, fire, etc.