I'm almost certain that McKinsey asks for it in their online application. I do not think you can proceed without filling out this field. I'm also pretty sure that Bain and BCG have the same thing.
I just checked out the McKinsey website and ran through the application. Once you get to the second page (you'll need to make up some data for the first page) you'll see that test scores are required fields. In fact, you need to indicate whether you took GRE, LSAT, MCAT, GMAT & SAT as well as the scores. If you took a test but are not reporting the score, you need to provide an explanation as to why.
What I do not know is if candidates must fill out this form if McKinsey visits your school. If you apply through on-campus recruiting, maybe you don't need to provide this data. Still, I believe the prevailing line of thought is that if you do not indicate your GMAT score on your resume when applying for consulting and ibanking positions, they will assume that you scored below 700, which probably hurts your chances.