Sharing my 2 cents on the a few options you lists, based on my experiences from corporate, consulting and startup.
1.FP&A roles (to gain more industry knowledge >> I don't recommend this if your end goal is consulting. This job would likely to be very financial/accounting driven, and has a very defined scope.
2.Equity research roles (to gain more industry analysis experience) >> You can consider but make sure you gain more experience than just research work. Otherwise it could make you a better fit to the research team in consulting firm, but not the consulting team.
3.Investor relationship roles (to gain more industry knowledge) >> Make sure you get enough exposure into the strategic thinking process behind the decisions to be communicated as well.
4.Product manager (to gain more industry knowledge) >> Works if you are in startup, and could be a benefit if you specially want to join consulting with a focus on digital.
5.Project manager (to gain more industry knowledge) >> Could work but make sure you are not just PMOing, but have the exposure to strategic thinking/decision.