Dear,
if you don't have prior experience in the consulting industry, I think it's a great opportunity to learn more about the role of a consultant (as well as validate your actual interest in the field) after your undergrad.
From my experience, I don't think an internship at Oliver Wyman is a conditio sine qua non for getting a job offer at MBB. On the other hand, I do think it's a great chance to get yourself out there.
I am sure that once you will join the fray, you will begin to better understand the dynamics that characterize our industry and identify the nuances that distinguish one company from another. This will help you better understand which company you feel is most aligned with the way you are.
On top, an internship experience in consulting will provide you with an unparalleled opportunity to start mastering the consulting analyst toolkit well in advance.
If helpful, let's gladly get in touch for a chat and explore the topic further!