Reading your full problem statement, this is what I understand - your fear is, by saying No to masters sponsorship your firm will get disappointed to such an extend that after your masters they might not hire you or might treat you like any other candidate, is my understanding right?
Having known 100s of consultants in last 15 years who have not taken sponsorships for their masters and still rejoined consulting, I think you are overthinking. Just a normal 'thank you for extending this opportunity, but I politely decline as I have no visibility what is in store for me in future' kind of communication is good enough.
Don't forget, the situation that you fear is far far remote than you think
- During the masters, you might like something else (isn't that the purpose of education, open new doors,open perspectives :)), and coming back to consulting is just one among so many possibilities
- Even if you want to come back to consulting you might choose to get into MBB or any other firm for various reasons
- Even if you want to join same firm, same office...everything same, you are assuming that they will not give value to your familarity-performance-talent, and hire someone else, just because you declined the sponsorship.
Very very unlikely. Take your decision. If you want to remain a free bird by declining the sponsorhip, do it. Don't overthink!
Apart from case coach, I am a certified Career Transition Coach. Happy to have a short conversation with you on this,if it helps.