What are the tax consequences of not having any Federal Income Tax withheld from my pension?

You might have a tax due on your tax return in April.  And if you end up owing too much there is an underpayment penalty for not paying in during the year.  

You may owe federal income tax when you file your income tax return unless you make estimated tax payments. You may also owe a penalty for underpayment of estimated tax (see below for information about avoiding the penalty).

You can avoid a penalty for underpayment of estimated tax if you owe less than $1,000 in tax for 2019, or if you pay at least 90% of the tax owed for 2019 or 100% of the tax shown on your return for 2018, whichever is smaller. 

See https://www.irs.gov/businesses/small-businesses-self-employed/estimated-taxes