In the lab we do measure things and we do observe wavefunction collapse. There is no satisfying explanation why "us becoming entangled with the quantum system" or whatever explanation one chooses looks like collapse to us.
I've always been content to know that after measurement, the quantum system that includes both me and the device has a certain quantum state which is a superposition of all the measurement eigenstates, but by construction that state couldn't be measured in such a way that I would have ever experienced an inconsistency.