My group is currently in the Feywild, and in our last session, they entered the domain of a very powerful Hag known as the Spinner of Disillusionment.

The encounter was not designed for combat but rather for an exchange of favors for information. However, the chaotic agent of my group decided to threaten her, so I had them roll for initiative.

In short, thanks to one of the players deciding to make a deal with the Hag right there, the combat did not escalate.

Now each of them has given her a precious memory.

Since the domain of the Hag is disillusionment, I'm trying to think of in-game consequences for this.

So far, the only thing I can think of is that each of them, for losing this memory that is constitutive of who they are today, loses 1 point of their main characteristic.

But I want to see if you can give me other ideas that I might like more.

Did they receive a mechanical benefit from this deal? If it was just a trade for information to move the story along, then you should have the "downside" be through social interactions instead of permanent mechanical penalties. Did they tell you specifically what memory they each gave up? If not, that gives you license to spring things on them, like promises they may have made that they now don't remember or family, friends, or enemies that roll in with needs  or vengeances that they do not recall. At worst we're talking an occasional disadvantage to a social roll when interacting with someone familiar with the missing memory. 

sping a surprise rival on them that they forgot about. knowing hags, the hag prbably started the rivalry in the first place

Quote from DhelianDarkRose >>

Now each of them has given her a precious memory.

If you are playing with bonds, have them loose that bond. Tell them that the characters know that they are missing something but they can't seem to remember what. While this does not have great mechanical impact (it only makes it a little bit harder to regain inspiration) it is a great roleplaying opportunity. Up to you if they can form new bonds or rekindle old ones to replace the new bonds, or if they have lost the ability for now and need to find a way to regain that ability.

I would make the given memory non-specific, and then make it myself.

Make sure the players feel slightly confused by the process - they agree, and it's done. "Don't we have to pick them?" - "You already did!".

Then add an element to their backstory without telling them. A Brother they were trying to prove innocent. A previous and flourishing career with the mob. They started a cult once with themselves as the god, and then had to escape it because they wanted to "free them from their earthly bonds". Pick something which happened before they were a party, which they might have kept secret, and then weave it into the past - then have it come back to bite them, and they have no idea why - maybe a rival mob sees them as an easy target and they then get saved by the mob they're unwittingly a part of. Maybe the brother breaks out and seeks their aid to flee the country. Maybe some cultists start trying to steal their god back.

Let them unpick it in their own time, and they can piece their own backstory back together!