Ex BCGer from Dubai office.
Firstly, all the answers you are getting from EXPERTS are exceptionally generic. None of them are answering what you intend to know, simply because they haven't worked in that region and the insights they are sharing seems like an obligation that have to answer every question.
Hours are tough, and office culture ain't the best across the globe. One of the saddest things I had to see was the office review by all BCGers. The year I joined BCG, I saw 5 key things that the BCG Dubai office was facing in the yearly review, surprisingly the very next year the same 5 things (in the same order) were there. The culture is pretty weird and racism is part of the game.
1) Hours can vary, but in general, the hours are more compared to European offices. Generally, the weekends are protected. I recall only 1 specific time I had to work over weekend for few hours, which was compensated in additional day off
2) Benefits are pretty darn good
3) Staffing flexibility - well you will have flexibility on which project you can do in Saudi (after gaining some seniority/tenure) however if you think cross-office projects then please forget it. Rarely that opens up
4) Tech start up in this region? Please google and you will realize the region is lagging in startup in general and very few thriving startups exist post Series A round ( i know this because I worked with VC in the Middle East too).
5) People exit to - government (which are 99% clients of BCG), back to their home countries and some to very few big tech companies here
Lastly, your question on BCG Dubai experience is valid or not for building your own startup is very subjective - Please think carefully about why it might work - remember most of the time you will be working on projects where you will learn content very specific to that govt or policies of that region which is not useful in Asia or Europe. Since there is lack of private companies that use BCG services, it's hard to build a knowledge base/insights that you can apply across the globe.