Personally, I really want an AI model that can write me a steamy story about two people having sex in a train, but that's just not the service OpenAI provides. If I want that I should train one myself or find another vendor.

This is still true even if OpenAI model is entirely capable of doing that. McKinsey consultants are smart and can write well, and among many thousands of people working at it some might actually double as an erotica writer after work, even writing for commission. You still wouldn't ask McKinsey consultants to write an erotica, it is just not the service McKinsey provides.