Dear Anonymous A,
As other have stated, being rejected at the final round with an MBB is in no way an indicator that you will fail at future MBB final rounds (or with the same MBB at a future date should you wish to re-apply).
Let me add a different perspective. In the year I joined McKinsey, my mates and I estimated the Offer rate was <1%; or, in other words, out of every 1,000 candidates who applied, only about 10 were given offers.
We knew that only about 1 in 20 at the application submission stage were invited to the test/games stage which had a pass rate of about 35% in my year. We anecdotally assessed a pass rate of 1 in 4 at the first round interviews (i.e., of ever 4 first round interview candidates only 1 is passed through), and a pass rate of 1 in 2 at the Decision round.
By getting to the Decision round at your MBB (and assuming that McKinsey numbers are roughly representative of MBB numbers), you beat the odds of 1/20 * 35/100 * 1/4…which is 0.44%. By getting to the Decision round, you proved you had what it takes just by the numbers. Furthermore, you should also realise something very important: first-round interviewers at MBB are mid-hierarchy colleagues whose talent assessment judgement is on the line in the eyes of the partners. They will not suffer avoidable embarrassments.
The only people who get sent along to the Decision round are those who first-round interviewers WHOLEHEARTEDLY believe will convince the partners they are worthy of an offer otherwise the first-round interviewers would NEVER put their reputation on the line.
This is partly why the Decision round has a relatively high performance rate of about 50%. However, partners sometimes approach their own assessment decisions with inherent biases that could disadvantage the perfect candidate on a mere quirk.
So, all said, the fact that you have gotten through to a Decision Round interview at MBB means you are primed to excel at the Consulting interview process at other MBBs and other Consulting firms for that matter.
All the best!