This depends, but generally my answer is that for the top consultancy firms this is not necessary.
Recruiters need to select the top candidates from piles of students, and to do so will look for achievements that indicate talent. Attending a business course does not require a high amount of talent and will not make you stand out from other students who have probably also attended business courses. This is especially so if you have for example attended business courses at a lesser known consultancy firm and are applying for a top consultancy firm.
However, if you are applying for a top firm it does make sense to indicate that you have attended a business course at one of their competitors to indicate that you are wanted. This is especially true if the company you are applying for has a lower reputation than the company you visited for the business course.
In any case, I wouldn’t spend too much text on it. Just the company and date is usually enough to signal the above.