The real news is that the newsletter is turning multi channel, and by this fact, it enables the user to access faster to it. Indeed, the user might be more familliar with one medium than another. Internet is a complex medium that owns different ways to consume information, and this initiative shows it well. Personnally, the RSS feed works good for me as I can access it wether on my netvibes page or on my blackberry.
Great initiative that shows well what kind of benefits a consulting company could get by using web 2.0 technologies. McKinsey has now more tools to increase its exposure by helping users to get an easier access to the information.