In McKinsey it really depends. In the events in Eastern Europe, UK and US I have attended the recruiters only collected the informal Feedback about the candidates - i.e. whom should we have for an interview. It may be different for case competitions, but again, not necessarily
Bain collects a lot of information during the events and you can even skip the first step of the interview (test) if you are outstanding on these events.
B-school events are a bit different. You should write a Thank You note after the event and make a good rapport. Chances are high that the consultants will remember you and give some informal feedback.