Welcome to GMAT Club and thank you for posting your question. I have moved it to a better forum where I hope it will get more attention and also benefit others in the same boat.
Frankly I don't think you would be disadvantaged in SoCal by having gone to any of those schools. Yes, UCLA is the pride of locals and having the boots on the ground for your internship and recruiting definitely helps. Additionally the entertainment industry is right there, and chances of landing a job at a party is fairly high
At the same time, any top 5-10 school is a goldmine in terms of opportunities.
Anderson is currently #15 on the US News list and definitely the best school in LA and probably top 3 in the State (GSB/Haas being the other 2). LA is probably not the best PE/Finance powerhouse; there are some boutique firms, Wilshire 5000 obviously came from LA, but most of the financial excitement happens in Bay Area if you look at California overall but you probably know this.
My suggestion would be to definitely apply to UCLA and then consider a few other top schools (Stanford and Haas would be good based on your Geo preferences) and then pick one or two you can deal with, though all of them are on the East Cost or Chicago.
P.S. Keep in Mind the #1 application rule - do not apply to a school you are not willing to attend if admitted. A lot of people make this mistake.