Hello John,
In essence, Risk Consolidation is an activity in the Planner that enables users from selected organizations (typically Unit Risk Managers) to flag the risks from their organizations that they feel need to be reported to their parent entities during a reporting exercise.
At the end of the process, a group level user (typically the CEO) can review all the risks flagged during the process, respond to a survey and approve.
It can be considered to be a sign off of the risk process and it is required by some best practices.
You can find information in the dedicated page in the Help Portal (Risk Consolidation) and also more details in the Release Note of this feature (RN Risk Consolidation.PDF).
I trust this will help.
Thank you and best regards,
Thomas