The default Auth0 consent screen will be shown when a third-party client performs user authentication in order to inform the user the application will have access to their available user information. This does not happen for first-party clients as in general these applications will be associated with the user identity itself and it would not make sense to display the consent screen by default.
For example, consider a user that goes to a web application (the first-party client) that delegated authentication to Auth0 and signs up to that service using username/password credentials. In most situations, showing consent for this situation would be overkill because the end-user already considers that the application will have access to their user information given they performed the sign up through the application itself.
This means that for first-party applications the consent screen will not be shown by default unless the application explicitly specifies an API that is configured to request consent even for first-party clients. The side-effect of this is that if you want to show the consent screen even for a first-party application you can do so by configuring an associated API and use it in the authentication request (even if the API does not really exists, this would allow you to force the consent screen to be displayed).
Have in mind that currently the consent screen cannot be customized, this is something we already have in our backlog, but there’s not a definitive ETA for the availability of this functionality.