I haven't finished it, but I'd say Vampyr makes you make some difficult choices
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Yes, your grace, is a great short game
Depends on the kind of games you enjoy.
While not particularly about consequences of decisions, I highly recommend Frostpunk. It always feels like any decision is about trying to choose the less horrible one, but without ever knowing if it will work out or not. The atmosphere of that game is just superb.
Detroit: Become Human fits the bill perfectly! It's a great game with some of the hardest choices you'll ever make in a game period.
Banner Saga
i'm gonna blatantly disregard your "but where the consequences actually matter" and recommend most of telltale's games (The Walking Dead and The Wolf Among Us are the better ones).
besides them and the suggestion of others i would also recommend Tyranny. great CRPG made by Obsidian.
I made the choice in GTA that let me continue the free roam unhindered despite it not being what was best in game.