There are a few different ways to manage the create of shipments and loads in warehouse management. Release from a sales order, create through load planning workbench and also the release to warehouse form. Each of them have different options for selecting orders and looking for potential consolidation options.
Here is a quick walkthrough how the release to warehouse form works.
AX2012 R3 CU9.
AX Build 7.0.1265.3015