10 years ago being non-standard and setting up a startup instead of getting a "real" job would probably have counted against you in many MBB interviews, but that is rarely true nowadays.
Startups give you exposure to a level of responsibility and customer demands which are rare for someone early on in a corporate career. Startups can also give you a relatively easy way to identify a real track record of achievement (even if it ultimately fails) in terms of x customers, revenue, recruitment, programme delivery, etc.
I'd also consider that quite a large number of Consultants in MBBs nowadays would like to go work in a startup one day (particularly in Bain where I used to work) and so the fact someone has already done the role suggests a certain level of ambition, drive and personal interest which is attractive.
All that said, one golden rule I've set for people who want to get in MBB: If you want to go work as a Consultant, try to do so now. It's never better to wait.