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Ok then: WHY do people want them?

This would delve into psychology, including evolutionary psychology (species whose individuals did not have a desire to reproduce would be less likely to continue existing).

WHY is it fun?

Similarly, species for whom the act of producing children was not entirely enjoyable might be less inclined to reproduce.

You find the reason. Example: "Why do we obey the laws, if disobeying may provide us with an advantage over our fellow man?"

"Because there is a higher drive within/around us (whichever you prefer) that we answer to"

Or perhaps it is a risk/reward assessment when considering the possible consequences of being caught breaking the laws. And then there's the issue that people understand what would happen if everyone took the position that laws are an inconvenience, and obedience is more of an implicit agreement made out of self-preservation.

Why assert the existence of some vague "higher authority" when a much more likely reason does not require the invention of any extraneous entities ex nhilo?

Similarly, species for whom the act of producing children was not entirely enjoyable might be less inclined to reproduce.

So? Who cares if it's enjoyable or not? If we are bent on surviving as a species, why should "enjoyment" play a part?

"Or perhaps it is a risk/reward assessment when considering the possible consequences of being caught breaking the laws. "

Then why were the laws made in the first place? They are laws of Man after all.

"Why assert the existence of some vague "higher authority" when a much more likely reason does not require the invention of any extraneous entities ex nhilo?"

Because observation shows that everything has a cause. This would include "everything" itself.

Why assert "nothing" when "something" is the precedence?