Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any relevant stochastic primitives from some pre-specified family. Several communities have observed that a subtle phenomena known as time inconsistency can arise in this framework. In particular, it becomes possible that a policy which is optimal at time zero may not be optimal for the associated optimization problem in which the decision-maker recomputes her policy at each point in time, which has implications for implementability. If there exists a policy which is optimal for both formulations, we say that the policy is time consistent, and the problem is weakly time consistent. If every optimal policy is time consistent, we say that the problem is strongly time consistent. We study these phenomena in the context of managing an inventory over time, when only the mean, variance, and support are known for the demand at each stage. We provide several illustrative examples showing that here the question of time consistency can be quite subtle. We complement these observations by providing simple sufficient conditions for weak and strong time consistency. Although a similar phenomena was previously identified by Shapiro for the setting in which only the mean and support of the demand are known, here our model is rich enough to exhibit a variety of additional interesting behaviors.