So first up, bad luck. It's got to feel so gutting having come all this way, and I can only imagine the pain you're feeling. Take the time to come to terms with that.
Next up, don't worry (yes, I know it's easy for me to say this) about not converting. Firms really won't hold it against you for not converting a vac scheme. It might be different if you had done 8 or 10 vac schemes and failed to convert a single one, but that isn't the case here, I suspect. It's a good sign that you got this far anyway, but do be prepared of course for the question in a future interview of why you didn't convert this one As long as it isn't for a horrendous reason (cheating, stealing, etc) you should be fine. Firms understand that it is a highly competitive process. Plenty of firms, even on a vac scheme, have too many vac schemers for the available places. Being able to demonstrate what you have learned from these schemes and how you have improved is what matters here.
In terms of success stories - lots and lots of people do not convert the first scheme that they get. It's actually rarer to find someone who nailed their first one first time than it is to find people who had several schemes before converting. Just in terms of people I know, thinking off the top of my head:
- 1 failed Linklaters & then got Latham & Watkins
- 1 failed Linklaters & then got Kirkland & Ellis.
- 1 failed Cooley & then got Allen & Overy
- 1 failed Hogan Lovells & then got HSF
- 1 failed Jones Day & then got White & Case
Really, it isn't at all unusual not to convert a vac scheme, firms will not hold it against you. The one caveat is that you can't reapply to the firm that rejected you, but that's it. I know you must be feeling extremely down about all this, and understandably so. But the future really is bright for you as long as you can learn from what went wrong this time. Obtaining a VS anywhere is difficult, at an MC firm it's very difficult. You could do it then, no reason you can't do it again!