The chart says that Lacerte is the only product that does this.

https://proconnect.intuit.com/support/en-us/help-article/accounting-bookkeeping/comparing-lacerte-pr...

For ProSeries https://proconnect.intuit.com/support/en-us/help-article/tax-return/general-information-form-1120-pr...

ProSeries doesn't really support consolidated returns. Thankfully, I haven't had to do one for 5 years.  I completed the 1120 and marked it consolidated (PS lets you do that) and then created and attached the supporting schedules.   Originally it was paper file. I don't remember if I ever efiled them. 

You'd probably be better off using a pay per return on Lacerte.