MADEIRA, May 11, 2014 (AFP) - Zimbabwe-born McGregor, 52, who was caddying for Scotland's Alastair Forsyth, collapsed on the ninth hole at the Clube de Golf do Santo da Serra.
The decision to continue playing the event, which had been reduced to 36 holes after three days ruined by heavy fog, was criticised by a series of players.
"Cant believe they are going to keep playing in Madeira... Life is more important than golf...#RIPmac," tweeted Spain's Pablo Larrazabal.
Sweden's Joel Sjoholm and Finland's Mikko Ilonen also criticised the decision.
"Can't believe that they are sending out players to finish the 2nd and final round when someone just died on the course," tweeted Sjoholm.
Ilonen wrote: "Call it off NOW European Tour. Have some respect please."
But Forsyth insisted that McGregor would have wanted the tournament to carry on.
"Everybody is in shock," said Forsyth who completed the event. "To see that happen to someone in front of your eyes -- I don't know how or when you get over that.
"Myself and playing partners Adam (Gee) and Tano (Goya) met officials and spoke to (EPGA chief executive) George O'Grady on the phone before taking the decision to play on, because we felt that was what Mac would have wanted.
"He was a guy I've known for 15 years and was very popular amongst the caddies. Obviously my thoughts go out to his family at this time. For something like this to happen so suddenly is so sad.
"He was far too young for this to happen. He was the life and soul of the caddies' lounge and a nice guy who will be sorely missed. I'm absolutely numb."
The European Tour released a statement saying that players and caddies had been consulted before the decision was taken to keep playing the tournament.
"Following consultation with the players and caddies involved, it was decided that play should continue and the tournament should finish," said the statement.
"A minute's silence has taken place at the clubhouse and play resumed at 6.00pm local time."
England's Daniel Brooks went on to take the title -- his first on the European Tour -- beating Scott Henry in a play-off.
Henry birdied the final three holes to card a four under par 68, to move to nine under alongside Brooks and force extra holes.
Leading final round scores in the Madeira Islands Open, Santo da Serra, Portugal on Sunday (GBR/IRL unless stated, par 72). Note: Tournament shortened to 36 holes because of fog.
135 - Daniel Brooks 68 67 (Daniel Brooks won at the fisrt play-off hole) Scott Henry 67 68
138 - Jordi Garcia pinto (ESP) 69 69, Antonio Hortal (ESP) 69 69, Fabrizio Zanotti (PAR) 70 68, Julien Guerrier (FRA) 69 69
139 - Martin Wiegele (AUT) 69 70, Michael Lorenzo-Vera (FRA) 71 68, Johan Edfors (SWE) 70 69
140 - Jose-Filipe Lima (POR) 69 71, Steven Tiley 72 68
141 - Tjaart Van Der Walt (RSA) 70 71, Adrien Saddier (FRA) 71 70, Christopher Mivis (BEL) 71 70, Anthony Snobeck (FRA) 74 67
142 - Edouard Espana (FRA) 73 69, Lukas Nemecz (AUT) 72 70, Bjorn Akesson (SWE) 72 70, Brinson Paolini (USA) 73 69, Scott Arnold (AUS) 71 71, Jens Dantorp (SWE) 71 71, Chris Paisley 72 70, Bradley Dredge 72 70
143 - Pontus Widegren (SWE) 71 72, Tain Lee (USA) 72 71, Jason Palmer 73 70, Adam Gee 73 70, Estanislao Goya (ARG) 73 70, Phillip Price 72 71, Rhys Davies 72 71, Lloyd Kennedy 68 75, Oliver Fisher 72 71, Tiago Cruz (POR) 73 70, Cyril Bouniol (FRA) 70 73, Andrew Marshall 69 74, Pedro Oriol (ESP) 69 74, David Higgins 72 71, Lorenzo Gagli (ITA) 72 71