For most MSCA the consortium agreement is not mandatory (except the EID), but it is possible to conclude one and indeed it is usually strongly recommend. There are many issues that the consortium should agree upon, for example specific IP issues related to secondments, etc. A Consortium Agreement is a good and accepted way of dealing with such issues, and thinking them through and agreeing in advance is much better than dealing with problems as they arise during the implementation.
It does not matter if the Grant Agreement is already signed or not.
The MSCA explained by your National Contact Points