Are you referring to the expert interivew as "cold calling", or the process of finding such expert and convincing them to chat as "cold calling"?
I can only speak for BCG, but hope this could give you some comparison/reference. For external expert calls we use global expert networks e.g. Alphasights, GLG etc. So we don't need to scout and onboard the experts by ourselves. But we do talk/interview those experts once they are recruited by the network agencies. I don't see such conversations as "cold calling", it is how we extract the industry insights and expertise quickly. You might not incur this for every case work, but it is a very basic consulting skill. It is in a way similar to when you interview/discuss with client key personnels at the beginning of a case work - can you effectively draw data and insights from conversation?