When it comes to the selection of your McKinsey PEI stories, you need to think about three dimensions in the following order:
1. Fit with the actual dimension that is asked (Entrepreneurial Drive, Leadership, Personal Impact).
2. Diversity of experience (make sure that different stories are from different walks of life, e.g., jobs or career, university, extracurriculars, etc.)
3. Recency (in general, the more recent the better. Unless you interview for an experienced hire senior position, your stories should not date back more than 2-3 years)
Since you should have two stories per dimension anyway (in case a dimension is asked in several interviews), I would suggest that you have one from an official leadership role and a second one where you emerged as a natural leader due to your actions, behavior and the circumstances.
As others have already mentioned, both stories can be equally strong depending on how you frame it, the impact you created, and your interactions along the way.
If you need a recent and objective McKinsey-like perspective, send me a message. I am happy to do a PEI style interview across one or several dimensions to make sure you a. tell the right story (content) and b. tell the story right (communication and delivery).
All the best with your preparation and interviews! :-)