I like your thinking process to look at your longer-term goals well in advance of joining MBB and not loosing the big picture on your career - it's definitely something most candidates should do as well! (it's in any case good to have a plan - doesn't matter that much if it changes along the way)
As London being a financial powerhub in Europe (at least for the time being, let's see how that will develop in the next decade) I can see a higher percentage of people ending up in the financial industry - but that's obviously also depending on your area of expertise in MBB.
The majority of candidates transfer to management roles in the industry - which is quite logical, given that at project manager level you are usually the main face to the customer and having a strong background in industry and function ... and since your clients know you already and it can get only cheaper compared to your daily MBB rate, you are the perfect hire for their problem.
Apart from that, some folks start their own ventures or go to VC/PE - although not a very likely occurrence (not having specific data on that - just my observation).
Hope that helps - if so, please be so kind to give it a thumbs-up with the green upvote button below!