Voltage is not in fact consumed by any of those components.
Voltage is electrical potential energy, similar to the way that height is gravitational potential energy: to raise a mass m by delta-height h requires mechanical energy of mgh, and dropping mass m by delta-height h releases mechanical energy of mgh. In that sense, a ladder has a delta-height across it, but the ladder does not "consume" height.
More precisely, voltage is a field with a gradient, like a hillslope. A resistor is a conductor pathway that allows current to flow along that volage gradient. At various points along the length of the resistor, the voltage gradually changes -- for a resistor that change in voltage follows a straight line. This fact is exploited to make variable resistors; see https://www.ohmite.com/power-controls-rheostats/ for example. (For diodes, the change is non-linear, see the Shockley equation.)
Voltage is not consumed by any of those components. However, Energy is released -- Energy is Voltage x Current, and Power is the time rate of Energy. Resistors, Diodes (including LED), Transistors, etc. will increase in temperature due to power being dissipated into the surrounding ambient environment. So your intuition that "something" is being consumed is correct, but it's actually energy not voltage or current that is consumed.
It's worth looking at Maxwell's Equations, https://en.wikipedia.org/wiki/Maxwell%27s_equations -- Maxwell more or less invented the idea of a "field" as both a visualization (inspired by the patterns that iron filings form when near a strong magnet) as well as a rigorous mathematical model. The math is kind of heavy, but these equations are the best and most accurate model we have of how all sorts of electrical and magnetic stuff behaves. Fortunately there are simpler and easier models, like DC lumped-constant circuit analysis, KVL + KCL + Ohms Law, so we don't usually have to work a bunch of partial differential equations to design everything... but for understanding the basic principles, it's a good foundation.