TLDR:
Nature can't simply select out consciousness because it emerges from hardware that is useful in other ways. The brain doesn't waste energy on consciousness, it uses energy for computation, which is useful in a myriad ways.

The usefulness of consciousness from an evolutionary fitness perspective is a tricky question to answer in general terms. An easy intuition might be to look at the utility of pain for the survival of an individual.

I personally think that, ultimately, consciousness is a byproduct of a complex brain. The evolutionary advantage is mainly given by other features enabled by said complexity (generally more sophisticated and adaptable behavior, social interactions, memory, communication, intentional environment manipulation, etc.) and consciousness basically gets a free ride on that already-useful brain.
Species with more complex brains have an easier time adapting to changes in their environment because their brains allow them to change their behavior much faster than random genetic mutations would. This opens up many new ecological niches that simpler organisms wouldn't be able to fill.

I don't think nature selects out waste. As long as a species is able to proliferate its genes, it can be as wasteful as it "wants". It only has to be fit enough, not as fit as possible. E.g. if there's enough energy available to sustain a complex brain, there's no pressure to make it more economical by simplifying its function. (And there are many pressures that can be reacted to without mutation when you have a complex brain, so I would guess that, on the whole, evolution in the direction of simpler brains requires stronger pressures than other adaptations)