That ingredient is Polydimethylsiloxane, an "anti-foaming agent" that can also be found in hair conditioners, caulking, and Silly Putty!
Strangely, the McNuggets in a British McDonald's don't contain this ingredient. American McNuggets are coated before they are cooked, while the British McNuggets are cooked before they are coated. They also contain less oil and fat.
(Source: 1, 2)