Hi!
Historically, the Fellow position was introduced by the German office to cater for the fact that formal education level in Germany is structurally higher than in anglosaxon markets (US, UK etc). Meaning that, traditionally, a BA is a position for Bachelors. However, in Germany the Bachelor's degree never had good recognition, and German companies would not accept a Bachelor as a Consultant who can be taken seriously (in fact, there wasn't even a really comparable university degree in Germany, because the first formal degree you would get from a German university would be a "Diplom", which is equivalent to the Master). So the German McK Office felt that they needed some intermediate entry position - more senior than a BA, but less senior than an Associate. This is how the "Fellow" position came to life. Over the years, several other offices/geographies have adopted this Fellow position.
Hope this helps!
Cheers, Sidi
Thanks! I enjoyed reading your answer, really informative :)