McKinsey wasn't their legal auditor, blessing their financial statements. That's like saying any management consultant or contractor at Enron at the time should be punished. That makes no sense.
McKinsey was far more than just a management consultant for Enron. They were deeply embedded in the decision making process and even if they didn't do anything outright criminal they certainly share moral responsibility for Enron's misdeeds.
You're both right and wrong. The auditor has professional ethical and legal obligations. Clearly that is a special case of being particularly culpable.
However, everyone who knew what was happening and the scam being run should probably have been deemed complicit
