Hi Jazzyjazz,
I agree with the response Kryz gave- sometimes earning your MSW at the university where you plan to apply for your PhD is helpful- faculty know you and you are well connected. However there are quite a few universities that openly say they will not admit anyone that applies from the MSW/MA program. That can be for various reasons, like bringing in more diverse perspectives and applicants.
In terms of it not mattering where you get your MSW, I think that’s true. I think sometimes people get caught up on going to the most competitive programs and while that can look appealing to some profs and universities, the name or status won’t be all they’re looking at. Perhaps you had more involvement in your department, relevant experience, and your interests align better. That’s really what’s most important. So maybe someone attends a top university for their MSW... it’s great but it won’t necessarily get you in if you’re not a strong match. At the end of the day, everyone that applies with a MSW haaaas a MSW. So what else is there? And how will you be a strong match? Hope that helps! and, you got this!