Yes, you can leave the MCC counselling process after the first round if you haven't been allotted a seat. If you haven't been allotted a seat in the first round, you don't need to take any specific action. You will automatically be excluded from subsequent rounds of counselling if you haven't been allotted a seat in the previous round. The security deposit you paid during registration will be refunded to you after the completion of the entire counselling process.
Unlike some other counselling processes, you don't need to formally deregister or withdraw from the MCC counselling if you haven't got a seat. If you change your mind later, you can participate in subsequent rounds of counselling (if any) by following the regular process.

I hope this information helps.