"Do Amazon have one site for Books, Another for CDs, another for DVDs, another for Digital Cameras etc etc................?"
Just ask yourself....
What sort of question is this one? (before you post it)
Comparing a consultancy company site with Amazon is plain nonsense.
Why dont you also compare it with ebay or AOL?
Do their business have anything to do? I don't think so.
Regarding the rest of the advice. I don't think we can give anything useful here as we don't know what "consultancy" services they offer. It all depends on how related they are. However, even if they are related, it would be perfectly legitimate to have three different sites if it makes sense for your business. You don't have to plan these kind of things thinking on the search engines but thinking on what makes more sense to your company and needs...