In Denmark McKinsey consultants advise the government at a fairly high level. Most of the consultants are Danes and had they not worked for McKinsey they would work for another consultancy (or the government itself) doing the same government work.
Made in China 2025 is an industrial policy aiming for Chinese companies to move up the value chain. This was going to happen regardless of McKinsey.
On contrary the US congressmen are foolish for bullying McKinsey into not doing business in China as it will decrease the US's ability to understand what is going.