Do you have "Enable Consolidate" set in the integration options for the adapter?
Do you have validation entity group assigned to the location?
If you don't want to do a consolidate, you can simply disable the consolidate in the integration options.
The consolidate failed error could be investigated from the user error log (Tools > View Error Log)
"Enable Consolidation" option might be disabled in Integration settings menu and so is the reason for this error message. It does not impact anything as the consolidation process would trigger though it is disabled.
The Consolidate would only trigger if the "Enable Consolidate" option is set to on in the adapter integration options.
can those users run consolidation from HFM?
Yes they can. Just going back to your initial error message, it might be that there is an erroneous entry in the validation entity group list attached to the location being used to load the data.