Hi there,
This is somewhat dependent on which office of McKinsey you are employed with.
For example, in the Nordics, McKinsey is quite strict on consultants taking 4/6 weeks of vacation in July/August (since most clients do the same).
However, in some other offices, they have no restrictions like this.
In general, McKinsey is quite flexible with annual leave (more than most corporates), because they most early consultants are thankfully quite interchangeable. That said, your office may have very high demand leading up to or during March, which might trigger them to try to talk you out of the vacation.
My recommendation:
I would definitely bring this up - they won't get mad or be offended. It's likely you'll just get a YES! Worst case scenario, they'll try to talk you out of it, and then you can either try to push back politely, or agree and cancel.
Personally, I would typically just push back. Vacation is important to maintain your energy levels and your mental health, and sometimes it's very needed. I've never gotten in trouble myself for pushing quite hard on going on vacations during the times of my own choosing, although I've had to "fight" for it a few times.
Hope this helps!
Thor