When do McShane and Pettis integrals coincide?

We give a partial answer to the question in the title by showing that the McShane and Pettis integrals coincide for functions with values in super-reflexive spaces as well as for functions with values in $c_0(\Gamma)$. We also improve an example of Fremlin and Mendoza, according to which these integrals do not coincide in general, by showing that, at least under the Continuum Hypothesis, there is a scalarly negligible function which is not McShane integrable.