Doctoral Consortiums: When, How Many and Are they actually useful?
Having attended one of the doctoral consortiums you linked to as well as one you haven't, here's my perspective (as a student) on what doctoral consortiums provide a venue for:

A) Networking with peers and senior researchers in your field in a very targeted way.  A prolonged period of time ranging from 1-2 days is usually provided where you'll be closeted with other consortium students and senior researchers.  This gives you a set amount of time where not only will you have a bunch of students with you who are also interested in networking, but where senior people in the field who may not generally be approachable during a conference will be available and open to talking to you.  In addition, it also gives you a subset of people that you know will be at the conference that you can continue to network with during breaks and meals.

B) Getting an outside opinion on your research.  Doctoral consortiums will usually give you time to present your research so that the senior people in your field can give you feedback.  As a PhD student, sometimes it's difficult to get a perspective outside of what your advisor's agenda is.  Feedback during consortiums can help to provide new insights into how your work will be received in the larger research community, what people in the community perceive to be the strengths and weaknesses in your topic area, and how they think about what you're doing.

C) It gives you a place to practice presenting your research to a wider audience than just your advisor or your lab.  Even in a specific research area like human-computer interaction, which you linked to, there is a wide spread of topics that people will be doing research in.  Presenting at a doctoral consortium gives you a chance to really try to explain your research to a receptive audience that may have no background in what you're doing.  It's sort of like having a low stakes first shot at what you'll have to do when you eventually give job talks.

D) Depending on the conference, doctoral consortiums are arguably really nice for your CV because some of them are very selective and difficult to get into.

Not all doctoral consortiums are the same, but generally they are targeted for the point in your graduate career when you've picked your topic, done preliminary work or published a paper or two in that area, but before you're really entrenched in your planned research and can still change direction.

The idea is that by getting that outside feedback from senior researchers in the field, they'll be able to give you a nudge in the right direction if they foresee real problems with your topic/work in time for you to make corrections.

The general opinion that I've heard/witnessed has been that going to more than 2 is overkill and that at that point you won't be getting much out of them.  However, it's really good to get into at least one as a student.

A last point, since you mention funding, many doctoral consortiums provide some level of funding for students that have been accepted to ensure that they can attend.  In addition, they will often cover the registration fee for the conference that they're attached to.