Hi etric,
Are you sure domain field and url field hold the same kind of values?
For example:
http://www.splunk.com/home is a url
splunk.com is a domain
If you have a field in your mcafee:webgateway sourcetype holding domain values, you should use that instead:
index=mcafee:web gateway [|inputlookup URL_TWO | rename domain as <domain_field> | fields <domain_field>]
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