Most data scientists... don't know what to do. And most clients... don't know what to do with them. So they do little data science projects and build dashboards that few people use. Coming out of McKinsey you can quite confidently say you've learned how to identify top problems, organize a project around it, and solve it in a fast timeline with realistic solutions. That's pretty much gold. It's really useful to be able to say you've worked with c-suite leaders.
Finally, it's probably a function of just fast growth internally. You gain responsibilities much faster at McKinsey than at most most companies. The company invests in your development more. And when you leave, you get weeks of paid time off to search for a new opportunity.