> what makes a mathematical assumption "natural" is how elegant or inelegant its consequences are
So now we start to argue about concepts that are not well defined in the context, introducing new terms, even?
Art for art's sake is just one aspect of science and craft. You might argue that mathematical knowledge as it is incorporated in the material world, e.g. in brains, books and soundwaves, has become a real matter which entails all the complexity that makes it so difficult to grasp.
We do, but you have to remember that mathematics is an activity invented by humans largely for their own amusement. This is especially true when it gets down to the foundations of mathematics.