Hi,
Agree with Hemant. Similar experience with my candidates and friends:
- Mine didn't have to write a PST though
- All experts interviews had a mix of industry / non-industry cases
- Industry specific questions on the interview. Although they never go too deep
- Standard FIT interviews
For the industry expertise, I recommend you to find the industry POVs on the McKinsey web-site. You'll get a great perspective on what McKinsey is thinking about various industry issues. You should know the main metrics, benchmarks, and numbers in your country
Best,