Recruiting advice needed

One of the reasons I like this site is the brutal honesty of the members, so I thought to ask for some advice:

I recently went through the recruiting process at one of the Megafunds for a PE analyst role. I went pretty far, to final round in NY (3 rounds in total + modelling tests, case studies and math tests). Unfortunately, final round was as far as I got, as they sent me a very polite email informing me that they were going with another candidate but to make sure I keep in touch and all that stuff firms usually say to make you feel better about your rejection (oh and a nice phone call too)

Here's the question: can I use this in anyway with my recruiting efforts at other firms? Is it impressive on its own that I got to final round with such a firm/will it be enough to generate interest in other employers? Or is it stupid to bring up an experience that ended up in no offer?

I'm currently sitting on a couple of AM offers, but I want to keep looking around (the pay and nature of the work for these offers are great, but they are smaller, less known shops which might limit my exit opps)

Cheers