Careful, there: some vindictiveness ("if you attack me in Africa despite our pact, I will go totally apeshit on you for the rest of the game") is an essential part of playing e.g. Risk well (in our group) - naive consequentialism ("looks like I lost Africa, taking Australia from (unrelated player) seems best now") does not work very well on intelligent and adversarial agents.

Of course, most of the world is not an intelligent and adversarial agent - pre-committing to going totally apeshit on an unthinking animal is just stupid. The easiest and biggest wins for consequentialism are there, not in games of Risk.

(Non-naive consequentialism works fine. Naive consequentialism probably works fine in many games, e.g. two-player games like Magic.)