I don't think KTP projects are the best route to consultancy. They are a good idea for helping small businesses, and a good way to combine getting some initial work experience and a postgraduate qualification.
However, the projects don't tend to be that demanding or ambitious in comparison to consultancy and they're spread over two or so years, which doesn't simulate the pace of consulting that well. I hate to say it, but the universities and companies involved in KTP aren't particularly presitigious and this is likely to be an issue for the big consultancy companies.
There are probably better ways to build your own portfolio of experience by working on a range of shorter, more intense, projects.