This is as fas as my understanding goes:
1) Getting an interview is part skill (do you have a nice CV, did you do interesting stuff), part luck (mood of the person evaluating, does this person have enough time to look at your details, usually they first scan your CV so do they pick up the right points?). The fact that you got through one of the recruitment processes just means that your CV is good and you also might have a shot at another MBB.
2) Everybody is always betting on several horses. They never assume that you only applied to them, if you did you must already know the company very well and be extremely confident to not want to see what others have to offer. Also, the odds of getting a job after landing a first-round interview are still pretty slim, it is not advisable to only apply at one firm.
3) If they find your CV interesting, they will often ask you if you are applying at other places anyway. At least at some point. They want to know this because you might have an offer from another firm. In that case they might be able to arrange that your interview is moved to a closer date (f.i. next week).
So my advice would be to not contact them to tell them you got an interview elsewhere UNLESS you have an offer pending and you need to move the interview to a closer date, the only thing it might bring is that it annoys them.
Disclaimer: I am also in the phase before my first round interview, so I'm not at all an expert.