Of course it's ok to do that! It's actually a respectable thing to do - otherwise you're wasting their time and potentially keeping out another applicant.
Schools are well aware that you're applying to more than one program and if you get into Columbia in the early round, you absolutely can, and should, withdraw your other applications. No one will hold it against you!
Now, with that said, it seems you could benefit from a little more research on the programs out there. Is there a reason you're dead set on Columbia's early round? They do rolling admissions after that and that's a perfectly viable option.
As for consulting out of Columbia, they place almost a quarter of their class into that industry every year - you'd be fine. Don't worry about the "consulting concentration", however. Take a more macro look at the curriculum and take it from there.
Bhavik