Bypassing stress and forcing consequences is confusing and risky behavior. It's not a way the system was designed to be played, and will create problems. A lot of things in Fate were meant to be tweaked by you, but this isn't one of them. (See below for the Silver Rule.)
One of the problems that arises, as you've seen, is the players' confusion. It's hard to argue that stress is a narrative shield when players aren't allowed to wield it.
Consequences are intended to be significant problems for the players, that are only activated as a last resort. For instance, if you would have sprained your ankle from a horrible roll and +4 shifts, forcing players to take a moderate consequence is very counterproductive, since they shouldn't have to do so. The players should be able to tick 4 stress and say "I failed, but didn't injure myself (this time)."
It's hard to communicate exactly why, but this is problematic and throws off the balance of the system. If I had to summarize, I'd say:
- Stress clears quickly for a reason.
- Consequences last far, far too long to casually create.
- and, most importantly: Consequences can be compelled and are almost solely negative, whereas stress cannot.
For instance, you can compel a
Twisted Ankle to fail a jump to safety. But the alternative wouldn't be narrated, because there would be nothing to compel. The character would roll normally without that decreased chance of success, because they don't have an aspect that could suddenly bring them down. It makes the game a hell of a lot harder to have compellable aspects, and the players may feel they're undeserved.
Consequences arise from important points in the game. It's the system's way of saying, "Okay, you achieved it, but it's going to cause problems for you later." That later issue comes almost exclusively from compels.
That's not to say you can't take consequences outside of important scenes, but is has the possibility to throw things off a bit.
Without being able to rely on stress how it was intended, your players are likely to be confused by it. Stress exists to counterbalance every roll, and it's not a good idea to change this. The players, trying to see stress as a narrative shield and taking consequences anyway, will find an answer that doesn't make much sense.
As was pointed out in the comments, I should probably address how the Silver Rule plays into this. This example is from the text of the Silver Rule itself:
Never let the rules get in the way of what makes narrative sense.
However, in my experience, the Silver Rule should be taken with a grain of salt. I've personally found through experience that this rule shouldn't be used unless nothing else makes narrative sense. For instance:
But say you’re in a scene where a player decides that, as part of trying to intimidate his way past someone, his PC is going to punch through a glass-top table with a bare fist.
...everyone agrees that it also makes sense that the PC would injure his hand in the process (which is part of what makes it intimidating).
It’s totally fine to assign a mild consequence of
Glass in My Hand in that case, because it fits with the narration, even though there’s no conflict and nothing technically attacked the PC.
I find the justification as written to be incomplete. The real reason it should be this way is because literally nothing else makes sense - you can't punch through glass without getting some in your hand. It just doesn't happen.
That's where I'd draw the line for the Silver Rule: when no other mechanics reasonably provide the capacity to handle it, then you can start breaking things. But casually invoking the Silver Rule is bound to end in confusion, especially with new players.
Though it's hard to tell from your post if this is relevant, it may also be worth considering that the players must also consent to a use of the Silver Rule - the GM can't just say "you take a consequence by the Silver Rule," as that would violate the spirit of the game.