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Indeed, being in the same scale doesn't necessarily mean consonant. You can still get dissonant intervals playing at the same time, eg. a 2nd or a diminished 5th.
If inputting random uncontrollable CVs, like from an LFO or S&H, I'd recommend to set the quantizer to a specific chord, rather than a scale. This minimizes the risk of getting unwanted dissonances, if any.
I guess full scales are useful when you're inputting a more controllable source, like an unquantized sequencer, where you can set each step to specific positions until you get a combination of notes you like, and they stay there.
I hope it makes sense.