I'm a Zumba instructor and I see what you mean. Let me start with for the most part I think that if you are fit enough to be easily be doing Cathe then most Zumba workouts would be more play than a workout for you.
I think much of the problem is how Zumba instructors are taught to teach the class. As instructors we are told not to cue. They tell us instructors that it is to keep the feel of a dance party. I personally strongly disagree. Most Zumba instructors don't have any experience teaching group fitness (a poll at both of my trainings showed 75% of the people being trained were not fitness instructors) and therefore don't know how to cue. It is a difficult skill. When I teach I always cue since (as was mentioned earlier) the steps are very complicated and students get lost and frustrated if I am just performing a dance they are supposed to follow. To me the class is about the students, not about me.
I think you would also be fairly disappointed with the videos. First of all one of the funnest parts of Zumba is that the whole group is playing together. So doing it alone in your workout space isn't as fun. Second the music is fast. I mean really, really fast...really, really fast! I teach Zumba, I know all of the steps and I seriously have difficulty keeping up the speed on a few of the classes. I get really frustrated that on the videos it sometimes feels more like they are proving that they can dance that fast or move in an interesting way and have no concern for the student and whether they enjoy the class or feel that sense of accomplishment when the video is over.
I would say keep hunting for a teacher. When I put together a class I do the entire thing with the student in mind. Sometimes I slow down the music to a reasonable speed so people can keep up with the choreography. I also change the choreography so it is straight forward enough so I can cue it properly and yet different enough so the students have fun with it.
I guess I am saying that there are so many variables in Zumba that if you keep searching around you will find the instructor that works for you.
Shayne