He can now go straight to court. And he should file ASAP, or Cochran's lawyers will accuse him of "laches" (excessive delay) and say it's too late to change the ballots for November.
But McDaniel won't have the benefit, if any, of a Federal Court decision and of the pollbooks from the remaining contested counties, for his action in Circuit Court, which as you say must be filed ASAP. It's a Catch 22.