Rename ConEmu's executable to cmd.exe and change your system PATH environment variable so that the directory where renamed ConEmu's executable lies, is first item in the path list. Now Lazarus should start ConEmu executable instead old cmd.exe.
He's not talking about a shell cmd.exe but about a simple "hello world"-program which runs a standard black console (at least, that's how I understand "console application").
Using an alternative cmd.exe on your system will lead to lots of strange problems (looping of executables, batch files etc). You could also use the "Image File Execution Options" registry entry to let the OS think it's starting cmd.exe but really start conemu.exe. But that leads to the same trouble. B.T.W. ConEmu uses cmd.exe itself to start the real console. So using conemu.exe as cmd.exe will definitely lead to looping.
Anyway... If you set ConEmu as default terminal (via the integration options) a .exe (
outside the IDE) will run "via" ConEmu.
From inside the IDE gdb.exe "takes over". I'm not sure how to override the console for gdb.exe but the adding it to the hooked executables doesn't work.