In 2002, McPhee was named the first female police bureau chief for the New York Daily News. She won the 2002 New York Society of the Silurians' Feature News Award for an article titled "The Days After" about the September 11, 2001 attack. In response to a story she wrote about police suspicions of a local judge, McPhee received death threats through an anonymously written letter in January 2003. In her capacity as bureau chief, McPhee also appeared in other media for expertise on New York City police issues. In 2003, McPhee participated in a debate about the police shooting of Amadou Diallo alongside attorney Anthony H. Gair on the NPR program The Tavis Smiley Show, guest hosted that day by Tony Cox. In 2004, McPhee appeared on the Fox News Channel program The O'Reilly Factor to discuss an issue with a local September 11 charity.
