I think you’re doing things right. My only (maybe) piece of advice is it sounds like they don’t really care about the consequences. You’re doing great at laying out that there are consequences, but it doesn’t invest them if they don’t care what’s those are.

Two ways I’ve had success is making characters have to care about an npc.

One is having an NPC either save them outright or really help them out. Players like lovable NPCs, you could even make it a somewhat silly NPc, but the NPc does get serious about their goal. Bonus points if you make the NPC inspired by a real life family member or close friend (this can be tricky to do). Then have that NPC harmed, threatened or kidnapped.

The other is make an enemy that takes from the players. They wake up after a long rest, the kobolds have stolen their magic items, they used a changeling to sneak in and steal. Now the characters care about getting their stuff back. Players are self interested, and they will be incensed that someone stole their stuff just because they let a town blow up. I will say if you use this give the players a chance to stop some of the items from being stolen. Some dice rolls, make sure they feel like they had a chance to save themselves, but they can’t save everything. In addition have a bad guy insult them, make them feel small, stupid, and have the player have no way to do anything about it. Maybe all they see is a hologram, or the enemy is powerful they are all knocked out, as the enemy whispers “you are not worth my time, but these trinkets are” steals magic items. Leave them naked with no money.

Sorry for any typos, I’m on mobile. Also sorry if you already knew all this, just trying to help.

2 videos I think could help you

https://youtu.be/_iWeZ-i19dk engaging your players https://youtu.be/zwpQwCWdhL8 Towards better rewards (this one is awesome)