Interesting question. I don't think consequences do as much to change behavior as people like to think. I have several reasons for thinking that way.
Many people are not inclined to think in the abstract. In simplest definition, anything that has not actually happened is abstract. So, as Pep pointed out, most children do not learn that touching a hot stove will burn their hand, until they have actually burned their hand. Now, WS, suffer consequences, but when trying to motivate them to not repeat infidelity, the consequences are still abstract. i.e. until you actually D them, getting a divorce is still an abstract consequence.
Additionally, many people do not truly recognize cause and effect. The best analogy I've seen for this is the game of Russian Roulette. When someone plays this game, 1 round in six chambers, it is easy to see what caused a participant to blow his head off. But if you had a gun with 10,000 chambers and still only the one round, he could play the game for years and never blow his brains out. When he eventually did, there are those who would have never predicted it, and even worse, those who would be stumped at the cause of the individual's demise. The effect (or consequence) is discounted because it happens infrequently. The other items that seem to obscure cause and effect is time and cumulative actions. Most people need to see effect immediately preceded by cause to connect the events. A delay in this sequence tends to allow people to forget the cause. Cumulative actions i.e. when A, B and C combine to cause an effect, while neither A or B or C, by itself would have caused the same thing, often never get recognized. If you can't see cause and effect, consequences don't mean much.
Many people denigrate history. Believing hindsight is 20/20 often causes a certain bias. When we review history, we tend to assess something as being a mistake based on what we know now, as opposed to what they knew then. Read history and often the writer will describe a military leader A (when losing a battle) as making such and such mistake, because that writer also knows what the military leader B was doing. However, at the time, military leader A had no idea what military leader B was doing and the reality is military leader A did not make a mistake. This gets repeated time and time again. The perception that most develop is that if military leader A had been smarter, more keen or what not, he could have avoided negative consequences. And since most people believe they are smarter, more keen, more capable, while they are aware negative consequences exist, they assume that their capability will allow them to avoid them.
This is driven by the fact, it is in our nature to believe good fortune follows the more exceptional person. Take the book The Millionaire Next Door. It attempts to say these are the characteristics of millionaires, (hard work, perseverence, frugality, etc.) and if you have these characteristics you too will be a millionaire. It comes to this conclusion by saying we interviewed 1,000 millionaires and they all have this characteristic. But, interview 10,000 people who have those characteristics and you will find scant few who are actually millionaires. One could call this the impact of luck or randomness. Some don't believe in luck or randomness. They believe if they act a certain way, certain results will occur. This decreases the impact of consequences as a motivator, since the bad thing can't happen if I act in the proper way. This gets seen time and again when one says I am a good husband/wife, I do all the right things, yet I have fallen in love with someone else. This relates to the inability to truly recognize cause and effect.
Another problem is the consistent misvaluation of the effects. In the Russian Roulette example, what if each game the participant won, they recieved 1,000,000 dollars. Some would say playing this game is worth it. Only a 1 and 10,000 chance that I end up dead. 99.99% of the time I walk out of here with a million dollars. But I would suggest that this is a misvaluation. How much is one's life worth. Even probablity adjusted its worth more than many millions. Now, most people would not make this misvaluation, since the stakes are so high, and the results so stark. Yet, how many people have lunch with a co-worker, which 99.99% of the time would not lead to losing your family, friends, etc, because they put too low a price on keeping them. Consequences are meaningless, because they have been probablistically devalued.
Which leads to, even worse, when keeping the family hasn't been devalued, but the 1,000,000 dollars has been overvalued. I view this as loss of perspective. I read a quote once that said "For the many wonderful things he possess, he fancies a thousand others." Consequences mean little when the grass is always greener. A lot greener to some.
Additionally, most people can't tolerate doing something (or not doing something) that does not appear to pay off. For example, most people can't stand insurance. They complain about the premium being wasted money, since nothing happened. The more years they pay it, the more upset they are about it, the more they desire to quit doing it. Which is really ironic, because statistically, the longer it doesn't "pay off", the more likely it is to pay off. Again, this works against consequences being a motivator for change, since the change doesn't appear to pay off.
Finally, many people do not truly appreciate that they have a choice. While I concede that there may be situations where one has no choice about a course of action, many, many times, these arise out of self made artificial constraints. When a person convinces themselves they have no choice, then consequences are irrelevant.
So, to sum up, many people can't recongnize consequences, or their role in brining them about, and even if they do, they assume that the can avoid them either by their own gifts or superior strategy, and if they can't avoid them, its worth the risk, besides they are tired of not taking chances, and they really don't have any choice in the matter.
Just my 2 cents.