Why are catalysts not consumed in the reaction?

Because the purpose of a catalyst is to speed up the same slower reaction without changing what products are made. Otherwise it is a different reaction altogether.

The reaction WITHOUT the catalyst typically would be slow, and we want to speed it up (who wants to wait for hours on end for one reaction to produce what he/she wants?).

If a catalyst is consumed in the reaction WITHOUT getting produced again, the catalyst is considered a reactant, changing the mechanism in a way that its elementary steps no longer add up to give the original uncatalyzed reaction. At that point it becomes a entirely different reaction, which is not the goal of using a catalyst.

This is crucial---you need to maintain the original reaction process.

Let's take an example where reactants linearly connect together. An elementary step will be represented by "#=>#" and a multi-step process by "#->#".

Overall reaction:

#A + B stackrel(k_"obs,1")(->) AB#

This can have a mechanism like this:

#cancel(M) + A stackrel(k_1)(=>) cancel(MA)#
#cancel(MA) + B stackrel(k_2)(=>) cancel(M) + AB#
#stackrel("---------------------------------")(A + B stackrel(k_"obs,1")(->) AB)#

If somehow this happened, then it would not be the same reaction:

#M+ A stackrel(k_1)(=>) cancel(MA)#
#cancel(MA) + B stackrel(k_2)(=>) MAB#
#stackrel("---------------------------------")(M + A + B stackrel(k_"obs,2")(->) MAB)#

These are clearly not the same reaction. You could say that #k_"obs,1" ne k_"obs,2"#.