During Westeros Phase the card which forbids usage of Consolidate Power orders is resolved. So initially there are no CP orders after all the order tokens are resolved.

Can an owner of the Messenger Raven then change any order to the CP order?

This seems kinda logical from the text on the card, but it seems that logic doesn't always work for the game :-)

No. The card reads that no consolidate power (or whichever restriction is drawn) can be played during the next planning phase. The Messenger Raven token is the last step resolved in the planning phase .

This can be found on page 12 of the rulebook.