CONFIG_MCONSOLE is not available for thedefaultarchitecture x86.
Result is shown for architecture um

Management console

modulename: mconsole.ko

configname: CONFIG_MCONSOLE

Linux Kernel Configuration
└─>UML-specific options
└─>Management console
In linux kernel since version 2.6.12  
The user mode linux management console is a low-level interface to
the kernel, somewhat like the i386 SysRq interface. Since there is
a full-blown operating system running under every user mode linux
instance, there is much greater flexibility possible than with the
SysRq mechanism.

If you answer 'Y' to this option, to use this feature, you need the
mconsole client (called uml_mconsole) which is present in CVS in
2.4.5-9um and later (path /tools/mconsole), and is also in the
distribution RPM package in 2.4.6 and later.

It is safe to say 'Y' here.

source code:
depends
CONFIG_PROC_FS