The only other screenwriting advice I have read that seems to compare to McKee's statement (BTW, he's in "Adaptation," yarb, played by Brian Cox, in case you've seen that film) is this: "Save the cat."
When there's a poor animal (or for that matter a child) involved, the hero has to save it, no matter what other choices there are. Has to. Or he (or she) is not the hero.
I once had an interesting forum discussion with my Aikido sensei about about the the choices we face and about this only too common notion of a good-evil-dichotomy that seems to make them easier for some of us. Unfortunately in German. But I also let two quotes speak for me, one regarding choices (playing with oxymoronicity):
“If nothing we do matters, then all that matters is what we do.�? – Angel, Angel (TV series)
And one about “good�? and “evil�?:
“But whether all that came to good or evil, I don't know. Until we reach the end of time, we don't know whether something's been good or bad; we can only judge the intentions of those who acted.�? – Severian, The Urth of the New Sun by Gene Wolfe
Well, while I would never presume to attempt to answer the philosophical questions you raise, I will say that McKee is probably suggesting that the hero of one's screenplay must be given a choice between two evils, rather than a choice between good and evil, otherwise no drama really ensues and you have a really boring script that will never sell, your agent will stop calling you, and you'll never get that big house in Malibu, which may (for all we know) have burned or slid off the hill in a mudslide already anyhow.
A choice between the lesser of two evils and what? The greater of two evils? Well that also is no choice at all.
What about a choice between something just a tiny bit good and something only negligibly evil? Is that a choice? Or is a choice only a choice if it's a choice between two things which are identical in every respect? Is that the shrewd and subtle point at which McKee is driving here?
The point is that we might not be certain of how good or evil the options really are. If only everything came pre-labelled with a good/evil rating on a scale of +/- 100!
"The choice between good and evil or between right and wrong is no choice at all...True choice is a dilemma...a choice between irreconcilable goods...a choice between the lesser of two evils." - Robert McKee, Story