It really depends on the market and what you're advertising. Years ago I was the Marketing Director for a waterpark in Palm Springs California. My ideas and designs impressed the owner so much that he fired the Marketing Company that he was using, and broght me on full time (I was 22). I then branched to market the Hotel associated with the park.
At the same time I was still doing my own business, and I headed up the marketing for a construction company and a real estate company. So with the diversity there was no conflit of interest.
The same goes with SEO, or web design for that matter. If you have two companies that are in the same field, if you don't disclose that you're also working with "X" or refuse to do work because you're working with "X" then that can quickly become a sore point with people.
I've often looked at setting up a sideline business (needed something else to get into), but consider it a conflit with our clients if I was to take their ideas and businesses and launch a competing business (knowing what I know about their business and what works and doesnt' work in their site).
But consultation work is not normally considered a conflit of interest. It's when you get into longer term relationships that it can become conflicts (at least in my view anyway).