I would definitely choose BCG Dubai over EYP London as well.
- The exit option and the experience/skills you can build within a MBB firm would be far better.
- No need to worry so much about Visa and London experience might not be as useful as you think (I was holding an Asian country passport that requires Visa all the time until I changed my passport 5 years ago, but enough Visa experiences). Mot of the cases when you join a top tier global company, the company would take care of your Visa / work permit.
- I think it would be much easier to ask for internal transfer from BCG Dubai to BCG London 2 years later (as long as you perform well), comapred to moving from EYP London to MBB London
Anyway, congrats for your offers. It is a good problem to have to decide between offers!