the only related info I could find about this was here:
http://www.cic.gc.ca/english/information/faq/study/study-faq13.aspbut that doesn't quite apply since you aren't in Canada yet.
I suggest you contact the consulate/visa office and ask them how to proceed. Alternatively, you can contact McGill and ask them to speed up things...
Since you will have the admission letter from Concordia, in principle you could apply with that. Once you arrive in Canada, you'll tell the Immigration Officer at the airport that after your visa was granted, you were admitted to another university, and you decided to go there instead. Then it's up to the IO to decide whether or not to give you a study permit. Again, in principle, it should not be a problem. but ask the consulate, just to be sure. the study visa and the study permit are two different things. the study visa basically means "you are allowed to go to Canada and ask for a study permit at the airport". The study permit is what actually allows you to study there.
I was in a similar situation when I applied, except that I didn't really have a preference, so I just took the first offer.
ask the consulate.