Should I do MFE or not...

You are best served doing MFE part-time, having the tuition reimbursed by the employer so after a semester or two, you can learn something useful for your job while not quitting a good job to go back to school. It only makes sense to go to the very top MBA programs and likewise, the very top MFE programs because getting a job that worth the risk is a long way from a sure shot.
Too bad, the program on the west coast are mostly full-time only so you don't have the options and opportunities afforded in places like New York City.
 
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