Confused about UTXO management and consolidation
UTXO management is not a singular goal. instead, it's a method for balancing multiple priorities, including privacy, short-term fee savings and long-term fee savings.
Having lots of UTXOs is probably better for privacy, especially if they're each in different addresses. But like you said, that will cost more in fees if you want to send your entire balance.
On the other hand, having all your bitcoin in one UTXO is probably not best for privacy or security.
Coin Control is a feature of some wallets, that allows users to directly control their UTXO management strategy. Wallets that don't use coin control make those decisions for the user instead, so Coin Control is usually best for advanced users who know what UTXO management strategy they want.