Although "There's no consensus on that claim" is somewhat true, the meaning is closer to
A decision has not yet been made
"There's no consensus" suggests that there may or may not be a consensus in future. The phrase "The Jury is out" however, suggests that a decision will be made, but hasn't yet.
It comes from trial-by-Jury courts, where the jury would leave the court ("go out") in order to make their decision, and come back "in" to announce the decision once it is made. If the Jury is "still out", they haven't yet made their decision.
It's a subtle difference, and in many contexts it won't matter, but there are times when this nuance could become important to the meaning of the sentence.