They have the SDK integrated which is legally not possible with GD and you can buy it to export but in order to run the game you export. you need to pay developer license fees and you need to buy a developer console from Sony and Nintendo, I believe the XBOX can be turned in to developer mode once you have a developer account or may not even that required. So the XBOX may be less expensive but the PS and the Nintendo going to cost you thousands of dollars only to run the game you made, and to publish the game so anyone can run it going to cost even more. That is all I’m saying.
The “big boys” are spending millions on their games, honestly if you want to use tools like GD, I doubt you got the money. Maybe you have a good game idea and I understand you may want to publish to consoles, but again, to do that it would cost thousands at least in case you got the money, the dedication and the idea I doubt you would be using GD. But in case you make a really good game maybe you can find a publisher to get your game ported over to the consoles it would be not done by you, but it would be still the game you made except normally the publisher take the control over and the game released on the console may be nothing like the game you made depends on what sort of contract you make…
The bottom line is, the game you export from GMS or any other tool, won’t run on anything other then a development system which cost a lot of money on it own to get, in order to let anyone run it, you need to publish the game but I don’t know anything about that part but definitely not that simple as pressing a button in GMS to export a signed copy or something. Have you ever seen a PS, XBOX and Nintendo game that you can download from 3rd party websites and run on the PS, XBOX and Nintendo without hacking? I haven’t.
So all I can say is that if you already know that you want to develop games for the consoles your best options right now is Unity, UDK and GameMakerStudio, don’t expect GD going to receive this features over night.
It is something the current community would go against. The trouble is, 90% of people are using GD simply because it is free, in case it would be not free most people would go with Construct in my opinion. It is very unfortunate the two product is so similar at least from the outside. So turn it in to a paid product by tomorrow would be suicide. We need features first that would be not available in the free version but 4ian need to be interested to make a paid version in the first place.
In case you got the money to publish a game on the consoles, may be you can hire 4ian to implement the SDK for you!
You can find his contact info on the bottom of the main page.