Consulting before Entrepreneurship/VC?

Hi WSO community,

Hope you are having a great start to your weekend. I recently started working for a large pension fund (CPP Investments, Ontario Teachers) in a graduate scheme upon completing my degree. I am guaranteed a spot as an analyst working on bottom-up fundemental stock selection after the program. To give some background about me, I grew up with a single mother in a low-income household in Canada, and thought that if I pursued high finance I could provide for my family and finally have some money. Thus, during my studies I went down the rabbit hole of thinking about which companies would lead to best exit opportunities, income etc,  failing to factor in happiness, my personality, passions and dreams. I have always loved entrepreneurship and I started many companies when I was younger, although they never succeeded I loved the process of thinking about something new and using my creativity. In addition, I have a passion for strategy and understanding different business models. It gives me a different type of energy/feeling than focusing on the financials of a company does, although investing in public markets requires more than that (also did some internships in ER during my studies and I did not love it). In addition, I have always wanted to attend HBS. Long story short, my HBS dream was something that was so out of order given my situation as a child, but it always motivated me to do well in school etc. 

Thus, I was curious as to whether I should make the switch to consulting (MBB) so that I can learn more about strategy/business while increasing my chances of attending HBS or if that is just another detour? My reasoning behind this path is that if I have MBB and HBS on my resume I would always have some sort of financial security if things were to go south and it could make an attractive candidate for VC funds for example. Is that a very risk averse way of thinking, and could it be an option to purse entrepreneurship/VC straight away? I tried to keep my post short, but if there are some holes in my story/ something that is unclear I will do my absolute best to fill those gaps. The WSO community has been an amazing resource for me so far in my career, so thank you very much guys!