Honestly, it's not good. Especially with McKinsey (they can really be sticklers on the small things).
A very important point here: Did their "nudge" trigger you? i.e. thanks to their nudge were you able to move forward or did you remain stuck? If their nudge gave you the spark that let you move forward, you could be ok. If you remained stuck, then I'm sorry but it's pretty bad!
Next time you get stuck, try the following:
1) State that you're now figuring out where to take this next (that's fine)
2) Recap the objective and the pieces of information you need (and have) to answer the question/hypothesis.
a) Hopefully this triggers something or b) You get a signal from the interviewer on a particular segment (they might probe you and say "is that all we need from bucket x?"
2) If this doesn't work, start to probe in different areas (i.e. do we know x? To double-check you already said y doesn't apply, correct?) etc. etc.
3) If really desperate, you can say something like "Has the client experienced this before or have any ideas they've come up with?" or "Have we observed something similar to this problem in the past that we can leverage?"