Is there a way to set up a consolidated financial statement with only 2 of 4 entities rather than all of them or only one of them?

An expensive sentence. The answer is "maybe?" Issue is likely to lie around eliminations and what not between them.

Possible is you set up a 3-level hierarchy, with a parent entity consolidating those 2 before rolling up to the actual parent, but still would need to be careful around eliminations.