I've not used the Console much, I usually use the USB port for debug messages during development, and then I don't use any type of serial stream communications once the project is finished.
The few times I used the Console class, I did nothing special with a network configuration: I just selected the Yun's network address in the Port menu, and opened the Serial Monitor. I've read where you have to do some extra effort to use a standard Telnet client to connect with the Console class, but that shouldn't be necessary when using the Arduino IDE's Serial Monitor window. Of course, my experience is with an official Arduino Yun board - there are some subtle and no so subtle differences introduced by Dragino in their Yun Shield, and this may be different for you.
I agree, port forwarding should only be necessary for connections coming in from the WAN (Internet) to your LAN (local network), it should not be necessary for a LAN to LAN connection. Assuming your Yun Shield and your computer are connected to the same logical network, your router should not be involved in any communications between your Yun Shield and computer, it's only involvement is to assign IP addresses to them.
Now, if your Yun Shield is connected by WiFi, and your computer is on wired Ethernet, and those are two logically distinct networks that must pass through your router, then you may have to set up some special routing rules. But that would be an unusual setup, and is not the way that most home networks are configured.