Your argument is that voting with your wallet doesn't change things even if it reduces the profits of the company by an amount proportional to the number of people who do it, but voting in an election does where not only is your vote is still diluted by millions of other people, the result is all-or-nothing and the party/candidate doing the thing you didn't like can still retain full control of the government even after losing a couple percent of the vote?
It's the same problem in both cases. What you need is enough viable alternatives that you can pick the one doing the right thing instead of being given a fake choice between two or three "alternatives" that are all doing the wrong thing. And markets with hundreds of competitors are a lot more common than elections with hundreds of candidates/parties on the ballot.
One big thing you need a government to actually do is break up consolidated markets, and the current ones are evidently ineffective at it.
The biggest problem with 'voting with my wallet' is that it means we get the bad old democracy back: the poor don't get to vote, the rich get to vote more. That may have been good enough a few centuries ago, but nowadays we have universal suffrage and I think we can all agree that's better. I know in the USA there's been some back and forth about it regarding voter ID laws (getting an ID costs money so it penalizes the poor) and the fact that people who can only vote by going to the poll office may get penalized by their employers (who can dock wages for the time the employee spent not working); but technically there is universal suffrage and it's better than what came before.