Dixon had a nightmare at display Wembley in the 50-0 loss. He lost the ball several times in tackles, which led to Rhinos tries, and his ball-handling was poor.
McCarthy said the Hull KR squad is there to support the young fullback.
“Kieran’s obviously a quality player, he’s had a few errors there and he’s disappointed,” he said.
“I think he doesn’t need telling that he’s made those errors, he’s probably his own biggest critic. But I think his position too it highlights, like a goalkeeper in football if you make a mistake your own your own on the back there.
“I wouldn’t like to play there and anybody who questions him if they put themselves in that position I’m sure they wouldn’t enjoy it too.
“He’ll be a bit disappointed but he’s a fantastic player and we’re all there to support him and I’m pretty sure he’ll turn it around.”
McCarthy said his side was disappointed that they didn’t give a true reflection of their capabilities in the one-sided defeat.
“At 16-0 at halftime we still felt fairly confident we could do on and nip the win at the end of the game,” he said.
“We knew that Leeds would come out firing but I thought we were closer than the 16-0 suggested. I think it was disappointing just the amount of ball we kept turning over and you can’t ask your defence to keep doing that.
“It was probably just people trying too hard. You can’t knock anyone’s effort, everyone out there has given everything they can.
“We lacked a little bit of composure and that showed and that’s probably what they’ve got an abundance of in their team and they showed their real quality today.”
Hull KR next face Wakefield in the Super 8s and McCarthy said they will use the shattering Wembley performance as motivation for the rest of the season.
“Every team wants to come to Cup finals but if you think it’s going to be the last one you’re going to it probably will be,” the forward said.
“We need to start looking forward. We’ve got the Super 8s. We’ve got a big game against Wakey this week and if we get a win there we’re pretty much on the verge of securing our spot with a few games to go.
“We need to brush ourselves down, look at what we did well and what we did wrong and just give it a good crack this weekend and get that survival secured.”