Basically, both do the same. When you see a warning 'Virtual Machine disk consolidation needed', it means that there are no snapshots in the snapshot manager but the VM is still running on snapshot. In such scenario, you will not be able to use Delete/Delete All snapshots option. You have to use the consolidate option. If there are snapshots showing up in the snapshot manager, you can use Delete All option that will merge all the delta data to the base disk and get rid of the snapshot.
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Cheers,
Supreet