What do consulting firms hold against applicants?

Hi, I'm a university student based in the UK. I recently got an internship offer from a small boutique firm, and they want me to accept or reject their offer within a couple of weeks. To accept it would mean having to withdraw my application from several big consulting firms, that I would prefer to work for as a graduate. So my question is - will it count against me if I later apply for a graduate job with, say, McKinsey, if I withdrew my internship application this year?

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