There are tons of studies establishing that people with untreated sleep apnea are likely to die earlier and suffer more negative health outcomes.
The fact that the disease has been around a long time is not unusual. Cancer and heart disease have been around for a long time.
Natural selection hasn't weeded out people with sleep apnea because if we're going to die due to sleep apnea, we usually do so when we're old enough that we're not in prime reproductive condition.
I have been on CPAP for many years. When I started, I read about people describing how their life was transformed by CPAP. So many people love their CPAP machines. I still don't love my CPAP machine. As far as I can tell, I don't feel any better as a result of using it. However, I use it because I care about my health. I have severe sleep apnea. I want to live a long, healthy life.
You'll also find many people who hate their CPAP machine and, as a result, don't use it. I don't feel that way.