I'm very much interested in this, been using electrum wallet for a while now and haven't seemed to observe this feature. Would you please specify the wallets that incorporates this feature and how to locate it.
To select which UTXO(s) you wanto to be used for your transaction, you should go to "Coins" tab.
If you don't see the "Coin" tab, click on "View" at top the window and check "Coins".
Secondly, I have the intention of consolidating all my UTXO's to a single one in my wallet. Normally, I send them to my second wallet to consolidate it and pay a fee in the process. Is it possible to merge them all into a single UTXO in the same wallet?.
You can make your transaction to any address you want.
To make the consolidation transaction to the same wallet, just use one of the addresses of your wallet as the receiving address.
Take note that it doesn't matter whether the receiving address belongs to the same wallet or a different wallet. You have to pay the transaction fee.