Generally agree with the prior response - can give you bit more color on the US scenario.
For post-undergraduates I can't imagine that it matters. Given that this will be your first full-time job anyway, and post-undergraduates are generally not sent abroad very early in their consulting careers, it doesn't matter at all.
For post-MBA or other adv degrees - This criteria isn't specifically looked for, but it's more a by-product of where top consultancies recruit from. If you are a Harvard MBA, it's most likely you've done something abroad. Having reviewed resumes and been part of recruiting at BCG, however, I know that international experience isn't a specific dimension that's looked at. As you would expect it's mostly about the quality of your past experiences and accomplishments (wherever they may be) and the quality of our interactions with you at recruiting events.
One situation where this DOES matter in case you are implying this-- you do want to have some tie to or experience in the region you will be working in. So related to what Andreas said, if you want to work in Europe, it's better to have experience there - same thing with any other region. You absolutely will not get an interview if you randomly apply to a place without any experience or convincing reason to be there (for example, a spouse being located there is typically a good enough reason - thinking it's an interesting place/has interesting sectors with no experience there isn't too convincing)