Is Consulting Still a Good Exit Strategy for Finance Professionals?

Your question is far too broad for it to yield meaningful conversations, so let me help scope it down a bit. 

How are you defining Finance? Are you considering industry corporate development groups, sell-side advisory groups (investment banking, sales & trading, equity research), buy side advisory groups (private equity, hedge funds, asset management) or something else entirely? 

How are you defining Consulting? When exiting into consulting at the later stage, its typically aligned to a specific practice or team. For instance, financial services research advisory arms like BCG Expand, AlphaFMC, NMG Consulting typically look for industry experts to join their practice. On the other side, folks with deal experience in any form typically have opportunities to join the M&A, Private Equity Principal Investments or Due Diligence teams within consulting firms. There may be opportunities to join as a generalist at the later stage, but from my view, that's become less common. 

To address your questions, 

• Was the transition difficult? If a colleague is joining a specialized practice where he as a natural advantage or exposure, he may be headhunted, know the industry/colleagues at the firm, or simply place well in recruitment. The transition will depend on how far he's going from his current specialty to the consulting shop. For instance, if a IB analyst covering M&A wanted to exit into consumer analytics (not involving any M&A experience) in a sector he didn't cover, that would be a much harder story to narrate.
• Did the skillset translate well? Some finance professionals are proficient in operational workflows, but sometimes are challenged with the ambiguity of the work from consulting, this varies based on the practice and individual's skillset.
• How different was the work-life balance? The consensus is that in investment banking and other similar careers, there is a great variability of hours (you don't know when you'll get emails/requests to make changes), but the utilization of hours hovers around ~60% meaning you have a lot of dead time or low intensity work throughout the week. In Consulting, you typically work ~50-60 hours (down from 70-80 hours in Finance), but the hours worked are more intense on average. Now, this is a generalization, so if you join a PE DD team in consulting and you're understaffed, you could be working ~80+ hours for weeks at a time. 

Now, the final question: is this still the sought-after exit. It depends on the individual and the tradeoff for greater control of off-work hours (protected weekends and Friday evenings) for lower earning potential. It also depends on the skillset developed and the types of doors it opens down the line. So there's no right or wrong answer, for some yes, for others no.