I'd like to throw my 2 cents into this. The metals in Allomancy aren't consumed when burned, but they are changed. There's a WoB about it, and I found it, but I'm new and don't know how to quote those so I'm just going to paraphrase it. Brandon says that the molecular structure of the metals filters the power of Preservation through them. He says it's the same thing that happens with Aons on Sel. So here's my idea. When the metals/Aons/color(maybe), or the Physical components filter the power of a Shard through them, they change, maybe just enough so that the physical component is no longer usable. For instance, the metal still exists in the Allomancer's stomach, but it's no longer Allomantic. For the Aons, I think that the ones that are drawn in the air are weak, and the force of the Investiture filtering through them causes them to dissipate. The Aons drawn in materials, like metal or wood, persist because they are reinforced by the material. Which also partially explains Rosharan magic. Fabrials have a spren captured inside a gem. The gem reinforces the spren like an Aon drawn in something, but if too much Investiture is drawn through, the gem cracks.
I'm still figuring this idea out, but maybe I'll reformat it and post it as something a little more readable later.