As a sound designer in games since Dreamcast days, I can tell you that audio takes up a lot of room, uncompressed takes up a huge amount of room. It's less of an issue now with around 5GB of memory and 50GB Blurays. And then it's also more of an issue since download caps are thing in some countries.
Compressed audio needs to be decompressed at run time so OGG or similar are widely used. I haven't touched PS4 yet but I hope they're not still using VAG files (ugh, I hate those bastards).
MP3's aren't used much outside of (older?) mobile games. A wav gets you away from that so in a mobile game, you'd probably have the music as an mp3 or other compressed file and the sound effects as wavs. The extra space you need for your sound effects balanced out the hit in your CPU for decompressing.
Uncompressed means CD Quality or higher. 1 minute of stereo 16 bit 44.1 kHz audio takes 10 MB. A lot of audio is recorded up to 24 bit 96 kHz. Every time you increase the bit rate, the file size will jump dramatically.
Some audio is streamed off your disc or hard drive- bigger files increase seek time and increase the chance of hiccups or files arriving late, especially when you have multiple things streaming at once (music, voices, level mesh, game models, textures, etc).
Sound Designers usually have settings to determine the level of data compression so they can balance file size versus quality. It should be less of an issue with current gen systems and hopefully with cross gen almost gone completely, new systems won't have gimped audio because of PS3/360.
There is another type of compression that comes into play that also affects the quality of sound and that is audio compression/ limiting/ maximising that's often used to control the dynamics (so really loud sounds don't blow your speakers). It makes quite bits louder and loud bits quieter- evening out the dynamics. But it can also have deleterious effects on the audio if not done properly good example: the original version of Halo 4 on 360 (the MCC version is much, much better in this regard).
and one last thing, different engines handle audio in different ways, different audio middleware (if they use FMOD, Wwise-you just say Wise-) will all sound slightly different.
and different sound designers will make different choices so there's no unified way the files are handled.
Lastly, I agree you should be able to select which languages are downloaded, particularly for digital download versions. I don't see why that is all that hard.
