A fine levied by a sovereign nation is different from under the table bribes to government officials.
Plenty of companies do actions (like Uber) where they lose money for market share. So, penalizing McKinsey by making them forfeit profit isn't as big a punishment as it may seem.
It's a bit akin to if you were to steal a car, sell it, pay yourself a fee for that action and then have to return any money beyond that fee to the owner of the car. It's clearly a net gain for you still.