The Rhinos were beaten by North Queensland Cowboys in the World Club Challenge on Sunday, while Wigan and St Helens lost to Brisbane Broncos and Sydney Roosters respectively.
National Rugby League sides also won all three games in last year's series.
"There's absolutely a point in doing it next year," said McDermott.
"You learn through errors and from getting your backside kicked. Should we be involved in this competition next year then we'll give it an even better go and maybe we'll get our backside kicked again - but we'll get closer.
"What you don't do is get beaten and then not play another of these games for five years and then see what you're like."
Super League general manager Blake Solly echoed McDermott's thoughts.
"It has to go ahead," he said. "The only way in which Super League and the players that play in Super League can improve is by this sort of competition. It's a great learning experience.
"It's a lot more than just three games of rugby. There's a lot of activity that goes on during the week that helps boost the profile of the sport and there's obviously a hunger for it from the broadcasters."
The Rhinos, who have lost their two Super League fixtures this season, went in at 4-4 at half-time at Headingley on Sunday before the Cowboys ran in 34 unanswered points after the break.
Prop Mitch Garbutt was sent off late on for punching James Tamou and McDermott was disappointed with his player's actions.
"There was some provocation but not enough. It was silly," he added.
"It got passionate in that second half and I think our players got a bit frustrated. It wasn't justified, I'm sure Keith (Galloway) can handle being slapped."
Leeds Rhinos coach Brian McDermott has said it would be wrong to scrap the World Club Series despite Australian sides winning all three matches.