Are there any legal consequences of not seeking help from a marriage counselor before going through the process of divorce?

No, there are no legal consequences.  That said, however, there can be significant consequences for how the legal process goes.  Most divorce cases are settled on all issues.  A divorce trial is very rare.  There are many reasons for this, including expense and the fact that you really don't want a judge, who will give you less than a day to put on your trial in most cases, to make all the decisions about how your property is divided and how your children will be shared and raised.  Also, if you have kids, you really get very little divorce for your money, by which I mean that you will have to parent the children together on some level until they are 18, and you are going to have  to remain their parents, and their kids grandparents, for the rest of your life.  So if you have kids, you are going to have a relationship of some kind with this man for a long time.  It's just not going to be husband and wife anymore.

So, even if you know for sure that you want a divorce, and nothing will change your mind, having counseling before and during the process can be incredibly valuable in dealing with the conflicts of the divorce process, and the transition to the new form your relationship will need to have for your kids.  And even if there are no kids, you can save thousands in attorneys fees by spending hundreds on a counselor to help you deal with each other as well as possible as you settle the property and other issues in the divorce.  In divorce court there is nothing truer than: vengance and punishment always cost far more than they are worth; cooperation and compromise will save thousands for every penny they cost.