The 31-year-old went down under a challenge from onrushing North End keeper Thorsten Stuckmann in the 86th minute only for referee Craig Pawson to wave play on.
Preston had their own penalty appeal turned down earlier in the second half when it appeared Shaun Williams had used his arm to block a Stuart Beavon header.
MK Dons created the best chance of a heated first half with Alan Smith forcing a smart low save out of Stuckmann after a great through ball from Scott Allan.
The second half was an improvement, but Preston's best chance came when Dons defender Williams diverted Beavon's goalbound header onto the post with what looked like an arm after 64 minutes.
The visitors' penalty appeal came after McDonald attempted to round Stuckmann, but that too was not given and the game ended goalless.