Gödel's second incompleteness theorem can be proven in PA + COH, where PA is Peano Arithmetic and COH the consistency statment. By this I mean : $PA+COH\vdash \neg \square COH$ where $\square P$ means 'P is provable in PA', so that $COH=\neg \square \bot$.
But PA+COH does not prove $\neg \square\neg COH$. However, we know meta-theoratically (in ZFC ?) that COH is undecidable in PA, so PA does not prove $\neg COH$.
So which extra-feature from ZFC are we using that PA+COH does not have in the proof of undecidability of COH ?