During my time at McKinsey and at BCG I have interviewed many applicants in both styles, hence I believe I can give a comment here. ;)
First of all - there is no such thing as a "pure McKinsey style" or "pure BCG style", since in both firms the cases will vary on a continuum between the extremes. However, in the aggregate there is a systematic difference, which is essentially rooted in two different philosophies.
Candidate-led case style (BCG et. al): Here, the candidate's conceptual thinking ability, his ability to hypothesize and prioritize, as well as his leadership capacity to drive problem solving forward are under scrutiny. The interviewer will get try to get a holistic picture of the candidate! And over the course of 4-6 interviews, consistency of the candidate's process rigour is verified. Most firms have adopted this style.
Interviewer-led case style (McKinsey): McKinsey believes that a defined and limited set of qualities and abilities determine a consultant's success within the Firm. Hence, interviewers double down on these abilities in order to test them in a very focused way. This leads to the interviewer-led case style, which sometimes feels like multiple mini-cases under a common thematic umbrella. You can also see this philosphy in how McKinsey runs the fit part, which is much more focused compared to other firms: the Personal Experience Interview (PEI) at McK scrutinizes 3 defined dimensions in extreme detail (vs. more open discussion formats at other firms like BCG).
That being said, let me add the following: it is impossible to properly learn how to solve cases in the interviewer-led format! You HAVE to build your case solving muscle in the candidate-led way - learning how to rigorously approach the question, narrow it down to its answer-criterion, breaking down the criterion, and running the required analyses to test the criterion. Once you master this, solving interviewer-led cases in the McKinsey style is not a problem anymore and, in fact, much much easier!
And one additional hint: please don't underestimate the PEI! It is a completely different animal compared to the rather classical BCG or Bain fit part and needs considerable preparation and pre-thinking!