When a clone pops, its Physical Consequences are not transferred back to its creator. Mental Consequences do transfer back to the original, with the caveat that Mental Consequences that were created by a given event do not stack with themselves and therefore are not transferred.
In this context, an 'event' is something that happens at a single point in time and is caused by a single source.
When a Prime receives Consequences from their clone then, as always, if the given Consequence slot is full then a Consequence will roll up to the next available slot.
Examples where the Consequences DO transfer from a Shadow Clone back to its creator:
Hazō Prime has no Consequences. He creates a Shadow Clone, who also has no Consequences. The clone gets hit with a genjutsu and acquires the Mild Mental Consequence "Jumpy". When the clone pops, this Consequence will be transferred back to Hazō Prime and he will have the Mild Mental Consequence "Jumpy".
Hazō Prime has no Consequences. He creates a Shadow Clone, who also has no Consequences. Hazō gets hit with Orochimaru's jōnin aura, giving Hazō the Mild Mental Consequence "Cowed".Itachi hits the clone with a genjutsu and the clone acquires the Mild Mental Consequence "Jumpy". When the clone pops, the clone's Mild Consequence will be transferred back to Hazō Prime, whose Mild slot is already full. The Consequence will then roll up into his Medium slot, leaving him with Mild ("Cowed") and Medium ("Jumpy"). (Note that it doesn't matter if the genjutsu and the aura happen at the same time or at different times, the key point is that they are separate events because they come from separate sources.)
Hazō has no Consequences. He creates three Shadow Clones, all of whom have no Consequences. The four of them go off and do seal research on the Activation Relay Seal, the Air Tunneler Seal, the Light Relay seal, and the BecomusGodus seal respectively. Each of them makes an infusion roll for their assigned seal. Each of them has the Sealing Scroll Acolyte stunt, so each of them suffers a Mild Mental Consequence. These Consequences were caused by separate events (that individual making a roll), so when the clones pop, their Consequences will transfer back to Hazō. He starts with his own Mild Consequence and then receives three more. The first rolls up into his Medium slot, the second rolls up into his Severe slot, and the third one renders him Taken Out, which in this context probably means dead.
Examples where the Consequences do NOT transfer:
Hazō Prime has no Consequences. He makes a sealing research roll. Because of his Sealing Scroll Acolyte stunt (SSA), he receives a Mild Mental Consequence, perhaps "Psychic Headache". He creates a Shadow Clone. The clone has the same "Psychic Headache" Consequence. When it pops, this Consequence is not transferred back to Hazō because it was caused by the same event -- Hazō's use of SSA.
Hazō Prime has been drugged and has a Mild 'Hallucinating' Mental Consequence. He creates a Shadow Clone. The clone also has that Mild Consequence and is hallucinating. When it pops, this Consequence is not transferred back to Hazō because it was caused by the same event -- Hazō's being drugged.
Hazō Prime has no Consequences. He creates a Shadow Clone, who also has no Consequences. Hazō and his clone simultaneously get hit with Orochimaru's jōnin aura, giving both of them the Mild Mental Consequence "Cowed". When the clone pops, this Consequence is not transferred back to Hazō because it was caused by the same event -- Orochimaru attacking with his aura. (Note that this is an example and should not be used as evidence for or against the idea that it's possible to aura blast multiple people at once.)