What are you trying to Change the Dimension in Consol?
Even you have Data in Ownership/Rate also wil have impact and also check whether the dimension you are going to delete /modify is assigned in any other model which is related to Consolidation.
Consolidation
Ownership
Rate
These are common models for consolidation model
Send me the screen shots. will figure out what is the real issue incase this message is not going to fix your issue
Thanks
Venkat