Firstly, you should always mention a credential as strong as CFA---that's every bit as difficult as MBA level coursework and will demonstrate aptitude for b-school. Whether or not you seek a finance career after you graduate, you will be able to leverage the CFA. Your question actually also begs an additional question I believe you are also asking, which is, will it look odd to the adcom to have these solid financial career credentials and then seek an alternative path? The key here will be in weaving a narrative around the choices you have made in your career, and what you have learned from finance which indicates you will be better suited for consulting. If you can compellingly woo the committee with a story that sounds intentional and points you towards your future vision, you will certainly get some positive attention.
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Bryant Michaels
Admissions Consultant