Hi there!
First of all, congratulations for getting invited!
Regarding your questions, please see my answers below:
1. Based on my experience, yes, they do. All round 1 interviews take place on the same day.
2. Here, I would make sure that what you describe from your experiences, highlights these aspects. It is really important to showcase these skills in your previous experience, e.g. how you handle stressful situations, name an instance where you impacted a situation etc.
3. For your final questions, I would direct you: here https://www.mckinsey.com/careers/interviewing
Essentially, they would like to hear 4 different instances (one per area) where you showcased these attributes. Please keep in mind, when you are preparing, that they might ask for more than one example in each area. So make sure you are flexible and ready.
Happy to discuss any other questions with you!
Best,
Nikos