Hi there,
Firstly, HUGE congrats on making it to the 3rd round - that is a huge success - you should be proud of yourself! It is perfectly normal to feel anxious at any stage of the McKinsey interviews. It just means your human and that you are passionate about succeeding in your efforts.
Answer: Yes, it is OK to not know frameworks by heart.
Knowing a few frameworks that generally apply to certain types of cases / client situations can be beneficial, because it can assist you in more efficiently identifying how to structure your thoughts and how to display your holistic thought process effectively.
BUT, simply knowing frameworks is not actually a precursor to being able to do these things. Many people memorize a bunch of frameworks, but struggle with adapting them effectively to the situation presented in the interview. Also, if interviewers notice that the applicant is simply utilizing a well-known framework without any own input, they most often tweak the case a bit to see if the applicant can adapt their thought process beyond memorized frameworks.
What matters way more than any pre-determined frameworks is how well you can holistically think through and structure the problem you are given. It's all about being adaptable to the situation and displaying that you can understand the myriad of factors that potentially contribute to a helpful conclusion. You are likely already quite good at this, since you've already made it into round 3!! :)
Please feel free to message me directly if any of the above is helpful. I'd be happy to assist you further.
Sincerely,
Thor