Both teams went into Tuesday's Championship fixture having yet to suffer defeat this season, and that remained the case at the full-time whistle as Leeds twice came from behind to earn a share of the spoils.
McKay has acknowledged that he and his Swansea teammates were initially disappointed with the result at the Liberty Stadium, but will now take the positives from maintaining their early undefeated streak.
The 23-year-old told the club's official website: "At first it felt like we dropped two points against Leeds, but when you look at the end of the game, either team could've won it.
"I imagine it was a good game to watch between two attacking teams who both went out to win. It's definitely a good point for us and we remain unbeaten."
Swansea are next in action when they host Bristol City on Saturday afternoon.