Should I leave out my current consulting role from my resume?

I've just started work (about 2 weeks in) in a relatively small consulting firm, as it was my best full-time offer out of college. I have done both consulting and a HF internship just this summer with a number of boutique places, and I know my heart is in finance. I did get a return offer from the HF internship, but I had to turn it down. I would rather not say why, but it is not for a trivial reason and not about the pay (I would have taken less), and I am confident 95% of the people here would have agreed with my decision.

I know some posts here say don't settle until you get your dream job, but I took the consulting offer because I didn't think it was good to rot at home, thought it might be good to learn some things on the job, and I felt applying for jobs doesn't pay the bills. 

However, I'm not sure if this is because of the timeline of the hiring cycle, but more finance openings have been coming up recently. I have also been hearing from different brand name places recently for ER positions and a number of HFs mainly because of my HF internship. I managed to get to the final round for a sizable HF, and while I did not get the offer, I was told they went with a more experienced candidate who already had 3 years of Finance experience (which was what the JD was looking for), and told me to apply again when I had more Finance experience. I am currently in the process with a few other firms which have fresh grad Finance programmes, and I wanted to ask if anyone has any advice for the following questions:

1. Should I still list the consulting role I just started in my resume, or should I leave it out altogether when applying for other places?

2. Is there a stage where I should be upfront and mention I have already started this new position, or is it advisable not to say anything until I get the offer, given that they are interested in my other experiences?

3. If asked directly during the interview if I have started working, should I answer the question directly, or should I just keep my mouth shut, or just lie?

4. For hiring managers, does it look bad if I am looking for a career switch this early after just starting a job?

Thanks!