In most Civil War actions it is impossible to discern all the specific men from a unit who participated in a particular action--the ones whose names emerge were the ones who were wounded or killed, or did something that stood out that resulted in mention in an ensuing report. I am often asked by this descendant or that descendant of a Civil War soldier which engagements their ancestor participated in. The best answer I can give them is to give them a list of all the known engagements and tell them "this was the experience of his entire unit, which will give you an idea of the general overall experience of your ancestor." That, and looking at pension applications, which will sometimes include affidavits detailing specific actions.
Then there were also individuals who participated in an action who later wrote it up himself and left it to a relative, or sent something to a newspaper that made it into print.
However, regarding whether every man of the companies you mention participated in a particular action, I would say not likely. Company rosters fluctuated heavily. A roster of men who served in a company during the war might contain names of men who enlisted on day one and were discharged before a particular action. Or men were on sick call. Or home on leave. Or on detached duty. Or in the guardhouse. Or digging ditches. You fellows who served in wartime know that if your company was involved in an action, it would be a rare thing that every man in the company was in that action. Unless maybe you were at a forward base in Vietnam that was overrun.
Even with the February 1863 consolidations of regiments, it did not take long for most MSM companies to become seriously undermanned, with 19th century sicknesses taking a heavy toll, both in laying up and killing Civil War soldiers. And remember, the McGee Massacre was pre-consolidation. A full strength MSM cavalry company would have 80 men, while 100 men was the general number for a full strength regular infantry company. But it was not unknown that some reports might list twenty men or fewer available for duty.
In addition, I have found that some reports that might mention something like "Company A and Company F scouted down below and engaged the enemy at Smith Crossing...." But do a little deeper research, you might find there were only thirty men on the scout, and that three independent companies, especially in Southeast Missouri, might have had men tagging along.
That is speaking generally. One specific example that comes to mind is the force that went down to Ripley County and burned Doniphan in September 1864. See my article on the subject which ran in North & South Magazine back in 2003. That event primarily involved SEMO-recruited former 12th MSM Cavalry companies which had integrated into the 3rd MSM Cavalry. Those companies made mention in the reports. But troops from several independent SEMO companies hopped onto the bandwagon for the mission. Those secondary guys never made it into any general reports, but crop up in more obscure writings.
Also, it has been my experience that when a report says something like Company A scouted, it might often mean that the man who led the scout was from that company and that able troops from throughout a command were detailed to accompany it.
Making a long story short, and in a more direct answer to your question, was every man in the mentioned companies at the McGee Massacre?--my opinion would be no. With the units mentioned being 26 months into their service and being heavily involved in the very forward no-man's land of Southeast Missouri, they would have had a considerable depletion of manpower by the time.