I failed an accelerated round in one office for one of MBB (in Asia), and I somehow managed to get another interview invitation in an US office for the same company. I'm now wondering that if this would be a problem if found out? The other accelerated round was somehow off-the record as I didn't get a email for the interview. Thanks!
Interviewing in two office?
It will not be a problem, as the preferences of the local offices supersede the default ban period. If you show a decent performance and thus receive an offer, no one will highlight that you were recently unsuccessful during your application with another office.
as stated by the other coaches, if the accelerated round has been unofficial/off-the-record, I would start to prepare the interviews and work on the negative feedbacks which prevent you to get the offer in Asia.
so far that the first interview was off the record, it should not be in the recruiting system (otherwise you would have not been invited in the US in the first place). Unless after the first interview the explicitly mentioned you cannot apply to other offices, I would not worry about that.
First of all, at least at McKinsey, some offices are out of global hiring police and in that cases, you can interview with both.
Secondly, as you've noticed, it was an unofficial interview in your case
Thus, I recommend to concentrate on preparation