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What option did you choose for the Consolidation rules in the App Settings? If you choose "N" or "R" it should consolidate, but if you choose "Y" it means that you must supply HFM with your own rules - Sub Consolidate must have rules within it in order to consolidate.
How have you determined the app does not consolidate? Do you see data in a base entity at [Parent Total} but nothing at all in [Proportion]?