There are diminishing returns on some consoles, but not others. Ones that add a +skill or a +% do not have diminishing returns except for that one +35% shield strength console, which you can only have one of.
Ones that add just a flat +x to some nebulous value are effected by diminishing returns. A good example would be armor consoles. Try stacking 2 armor consoles together.
The same effect comes from skills. For example Polarize Hull adds +x to damage resistance. But if you activate and look at your resistance %, it will be much lower.
Interesting. I didnt know the weapon consoles where stricly additivate. I assumed they worked like the Armor consoles. Those work on the basic formula of NET DAMAGE = BASE DAMAGE / ( 1 + (<armor> / 100) ). Where <armor> is the total amount of armor points from console, abilities, etc.