1. the reason we pay income taxes is to provide for the public services available to us such as the military, federal roads (the interstate system), the FBI, CIA, national forests, etc. I will be the first to agree that much of those funds are wasted and misused but the services exist because of income taxes.

2. Taxes are taken out of your pay because the government would like to get its funds up front to use as working capital all year loong and so that you don't have to pay a huge sum at the end of the year. The W-4 simply tells your employer what you feel your appropriate level of withholding should be.
Social Security and medicare taxes are a set amount so there is no reason to have to estimate exemption amounts.

3. Your tax return is simply your balancing sheet at the end of your work year. The tax return calculates how much tax you actually owe based on your level of income and eligible deductionss, exemptions and credits. If you have paid too much in, you are refunded the overage. If you paid in too little, you owe the balance. If you owe TOO much, the IRS penalizes you unless you have a very good excuse. Too much is generally more than $1,000 unless there is a large descrepency between this year and last year's income.
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