Do the Paris/Belgian/Swiss offices of McKinsey and other large consulting companies prefer candidates to have a masters degree (and not just a Bachelor's)? I've heard that British/North American offices do not give out more interviews to candidates with Masters degrees (not MBAs). However, I'm under the impression that masters degrees are viewed as much more essential in France and elsewhere in Europe.
Need for masters for entry-level positions in France/Belgium/Switzerland
Overview of answers
indeed you might have been right with your statement 9-10 years ago. This was a time right after the introduction of Bolognia system, which standardised university degrees (bachelor & master) across Europe.
In 2009-2010 I was one of the first bachelor grads at the age of 21-22 and applied for the full-time positions with MBB and other tier-1 players. I had roughly 5 interviews with all top players. However, I was rejected all 5 times with a feedback that I am still very young. Several companies offered me an internship for instance saying that I should do master and definitely come back afterwards.
However, the conditions have radically changed towards favoring bachelor grads starting in 2014-2015. This was a time, when MBB and others have introduced so called "Gap year" programms aiming full-time placement of students between bachelor and master. Since then it has become way easier to get into consulting with a bachelor degree. This applies now to all European offices, including the countries you have mentioned (Switzerland, France, Belgium, UK, Germany, etc.).
Nevertheless, after getting into consulting with a bachelor degree you will be asked after 2-3 years to leave the company to obtain masters degree or MBA.
I hope this clarifies.