I'll start with just Windows and C++ first.
Are you familiar with all of the following in C++:
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Compiling, building
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Basic program structure (main(), header includes ...)
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Basic data types
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Composite data types
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Control structures (if, for, while ...)
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Basic functions, function signatures
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Function parameter passing
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Classes and general OOP
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STL - Standard Template Library
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Dynamic memory allocation, pointers
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Type casting
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Advanced OOP, inheritance, polymorphism
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Advanced program structure, header files, linking
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Debugging techniques This is important to be able to help yourself when the situation arises.
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Templates
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Operator overloading
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Namespaces
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Move semantics and other C++11 features
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Metaprogramming
When it comes to consoles it depends, which console? Are you looking at developing for mainstream consoles, or something like Dreamcast?
If you're talking about making games for Xbox One, and PS4 as an example, you can do this with the Unreal 4 Engine, however you have to consider that you require developer licenses which are granted by Microsoft / Sony. This is not a straight forward process, and requires jumping through hoops.
This is why setting the bar too high off the bat is a recipe for failure. Your best bet is to either stick to PC, Mobile, or homebrewing for something like Dreamcast and be the best you can before splitting platforms.
The best thing you can do for yourself is read a good book on C++ such as C++ Primer (NOT C++ Primer PLUS - they're different books, and plus is garbage). Once you've made a lot of test programs and fully understand the above list, you can move into picking up an engine like Unreal 4, or developing your own game engine using something like SDL. SFML, or Allegro. (I'm not recommending Unity because it's C# based).
If you decide to stay with JAVA, you have options as well, but I'm not sure on what to recommend because I learned JAVA fairly quickly after using C++ for so long, in which I only needed a reference manual. I'm sure there are JAVA game programmers here that can recommend a good book. You can look at Libgdx for Java once you're competent in general programming - https://libgdx.badlogicgames.com/ which is built upon LWJGL https://www.lwjgl.org/