Cons:
Your consultants will (secretly) hate you
Your consultants may have better rates on hotels and airfare (likely only applicable if it's a bigger firm)

Pros:
You might save money
More oversight over what consultants are doing

At least at the major strategy firms, must consultants are more akin to Flyertalkers (though not quite as obsessive) than "normal" people. I suspect consultants at the IT/Accounting firms are similar.

Consultants (and I am one) end up being loyal to particular hotel chains and airlines. The loyalty brings upgrades, mileage bonuses, and continued accumulation of miles / points for our all-too-infrequent (though often lavish) vacations. Stick consultants on airlines and in hotels they have no status with, and the first class seat changes into an economy seat and the suite changes into a parking lot view room. When you're staying in hotels three or more nights per week and flying twice a week, those things do make a difference.

Should you care? In a lot of ways, no. You're footing the bill and the consultants are there to do work, not have fun. That said, if you can make the consultants (particularly the junior guys who see a small fraction of the fees you're paying) happier without increasing your costs, why not?

What I would do is see what rates you can get at your preferred hotels and set that rate as a cap for the consultants. You can also stipulate non-refundable tickets (though be careful with that one; you may not know when the engagement is going to end) and mandate that tickets be no more than x% above your lowest negotiated fare.