Hi Ronaldo,
I could not understand, why you want to put FU to another FU. When you say "you want to FU in a consolidation bag", does that mean you are creating a pallet or similar object in TM?
Anyways, standard does not allow to plan a demand item (FU) to another demand item (CU created from FWO or FU), you can only assign a demand item to a capacity type (CU not created from FWO). You have to enhance the system to make it work.
Regards,
Tarun