Unless you're absolutely certain that you do not want to settle in India and/or want to do an MBA from a top-10 global university at some point down the line, I'd recommend IIM over HEC
Since you're targetting consulting as a post-masters career path, fluency in atleast one local language will be a pre requesite. For that matter, I can't imagine any front office role (IB, Consulting etc.) where you could get away with lack of local language proficiency! You could try applying to consulting roles in London, but i'd recommend doing some research to see if alumni from HEC have previously done that. Visa is a bigger hassle than most people realize!
If you're planning on applying to consulting roles in India, then IIM is a no brainer anyways.
Also, In the grand scheme of things, from a cost perspective, the scholarship from HEC really isnt that much.