I wanted to clarify -- PMF does not consider transcripts or resumes at all in selecting finalists. They might be considered in two places: 1) by your university in determining nominations and 2) by the federal agency that actually hires you. PMF is a designation/fellowship, not a position, so you have to apply to positions once you are selected and agencies are free to consider your transcript then.
PMFs are determined by the online and in-person assessments only.
No idea about whether consulting firms ask for grades or if they matter. I can't imagine they are that helpful since most students -- at least in my program get B+s, A-s or A -- but maybe it is.