I have friends currently in or formerly from McKinsey. The salary structure below partner is benchmarked regionally, but they do get an advantage in KL because the salary in Singapore is already high.

Having said that, one of them worked with me in oil and gas and he took a pay cut to join McKinsey at the associate level primarily because of career growth. I think the network and brand recognition does open doors so I would personally take the pay cut and learning experience and suffer for 2 years before moving on. Sadly I never got past the second level interviews though haha