I don't think you'll be shooting yourself in the foot if you mention firms that you've interviewed at...it sounds cheesy, but it is quite an achievement in itself to be one of the few hundred (or less, depending on the firm) invited to interview out of thousands of applicants. As @Jessica_ mentioned above, it's more about showing a degree of self-awareness by explaining where you fell down, and what you've done to improve yourself since. In my first application cycle, I had two post-AC failures which I was told were due to my lack of commercial awareness and confidence while speaking. So I made the effort to join a local Toastmasters club, and picked up a campus ambassador role for a financial news startup. In subsequent interviews, I would then say 'yes, I was interviewed and rejected from A, B, and C, but I was determined to succeed and did X, Y and Z to improve myself, and here I am now'. It shows honesty and resilience to admit your failures and how you've moved on from them, IMO
I think it's unlikely you'll be asked about this in detail, so if you're not comfortable sharing some parts of your feedback, then don't.
I personally explained my preference for MC firms as coming down to breadth. Many (not all) US firms are excellent in one or two practice areas like private equity or capital markets, which is great if you know exactly what you want to go into now, but not so great if you're looking for broad experience in your training contract. I also didn't like the satellite culture found in many (not all) London offices of US firms - because major management decisions are made by the US headquarters, the London office (which is where you'll be training and qualifying) can sometimes be treated as a slightly secondary outpost of the US mothership. The degree to which those points matter will differ across individuals, but those were the points I raised. I had examples of open day interactions, or information from my friends in US law firms, which helped me make these points more personal and (I think) convincing.
I'm not sure you need to cite direct competitors, just as long as you can show some sort of correlation between the firms that you were applying to.
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