[H Wilson]

Many people have postulated that it is Shaeonanra speaking through the Mutilated, based on extratextual remarks from the author, as well as hints in the text, such as the speaking in rounds, or the line "the truth spoke with one soul" [paraphrased].

Likewise it has been suggested that the Consult created the Dûnyain, or directed them to Ishual. The biggest difficulty that this theory faces is the fact that the Consult clearly do not know who the Dûnyain are, as seen in the epilogue of TWP, and elsewhere throughout PoN. There are a few way around this, though, and in this post I will present a new explanation for how it could be the Consult do not know who and what the Dûnyain are.

The first explanation is simply that they forgot. We know that you can't raise walls against what is forgotten, and with 3/4 of the Consult leadership being ancient, all it takes is for Shae to become a bit erratic and the whole endeavour falls from memory.
The other possibility is that Shaeonanra set this up in secret, paranoid that his inhuman allies had no need of soul trapping devices, and could choose to deny him the means to keep his soul in the Inward if he displeased them. We only know for certain that Aurang (and possibly Aurax) has no knowledge of the Dûnyain.

These two explanations seem unlikely, though. The problem with the first idea is that the Inchoroi seem to have decent enough memory, so an undertaking such as this would probably not be easily forgotten, and the second falls apart because Shauriatas appears to be on good terms with the rest of the Consult, and they seem to need him as much as he needs them.

My idea is if the Consult has something to do with founding the Dûnyain (far from certain, to say the least) that it was another member of the Mangaecca, not Shae, who set them up. We know that by the First Apocalypse Shae was using his soul trapping larval thing, and that other members of the Mangaecca were able to hold on for an unnatural length of time, but were all dead by round 2. Though Shae might have a privileged position amongst the Consult, there is nothing to say his brothers enjoyed such security.
But if that schoolman should die before his breeding project bore fruit, all knowledge of Ishual would leave the world.

[CoolCatCid]

Is there actually any evidence (textual or authorial comments) that suggests that the Consult created the Dunyain? I really can't think of any reason why this theory would be true, and as you mentioned, it just introduces a whole bunch of problems that have to be dealt with. I'd also note that it would seem weird for the Consult to have created the Dunyain as Dunyain philosophy is incompatible with Consult thought (as well as verifiably incorrect). Most noteworthily, the world of Earwa is non-deterministic (something the Consult would be well aware of).

[Wilshire]

This is the first I can remember hearing of a theory that the Dunyain were created by the Consult. It seems very unlikely. The Consult aren't ancient like the Nonmen or the Inchoroi, so them just forgetting about it seems very unlikely.

The Dunyain were an unimportant and tiny cult. If not for the 1st apocalypse they probably would have remained this way. Their whole breeding project thing was only possible because they found an abandoned castle in the woods. No one from the Consult knew of Ishual, and none of them had enough time to invent the program, nurse it through the infancy, and then somehow transition it into some kind of safehouse to begin the real breeding program.

[H Wilson]

No one from the Consult knew of Ishual, and none of them had enough time to invent the program, nurse it through the infancy, and then somehow transition it into some kind of safehouse to begin the real breeding program.

 This is the thing I question. They could have known and forgotten: Bakker has stated that the Inchoroi have grown decrepit in the manner of Nonmen, and though Shae seems the most "with it", he's just a cosmic ping pong ball, so who knows how his memory works!?
Again, I agree that this idea is unlikely, but Shae was knocking around for 1000 years prior to the Dûnyain finding Ishuäl, so there was plenty of time to build this little side project and then forget all about it.