Dear Anonymous A,
Congratulations on making it through to McKinsey's final round!
I will address your question first, and then include some additional commentary.
On the matter of your question, your planned response sounds, to be quite frank, like a clichéd humble brag. It is unoriginal, it is not a weakness per se, and it risks coming off as patronising to the interviewer. One thing I can say with near certainty is that a partner who is interviewing you in the final round at McKinsey will know right away when he is being patronised, and will not appreciate it in the least.
In other words, your planned answer belongs in the category of 'My biggest weakness is that I am a workaholic,' or 'My biggest weakness is that I don't always delegate and take on the workload of everyone else.'
I admit that this can be a tough question to answer...especially as you do not want to hand McKinsey the arsenal with which you think you could be penalised. I would advise (while conceding just how tricky this question can be) is that you focus on a weakness that a) is real; b) is being sucessfully addressed with a concrete development plan; c) is not detrimental to excellent performance as a management consultant at McKinsey; and d) is a 'low risk' weakness that, when it does, manifests itself only in 'low risk' environments with 'low-risk' outcomes.
Hint: try to pick a real weakness from a recent educational experience (i.e. university, post-graduate school) that you are working to address with at least some success.
As for my additional commentary: why do you belive you will be asked this question at a McKinsey final round interview? I would not particularly expect this to come up at McKinsey. But, you're doing the right thing by preparing for all possible scenarios.
All the best to you! :-)