For latency sensitive application, it tends to have different purpose which mainly trade off CPU and RAM usage for higher low latency ( first ) and throughput later.
The cost is not high, it's much less expensive to have a CPU operating more efficiently than not processing anything because its syncing caches / context switching to handle an interrupt.
These libraries are for busy systems, not systems waiting 30 minutes for the next request to come in.
Basically, in an under utilized system most of the time you poll there is nothing wasting CPU for the poll, in an high throughput system when you poll there is almost ALWAYS data ready to be read, so interrupts are less efficient when utilization is high.
Of course you can get different numbers if you invent a nonstandard definition of utilization.
With 300W to 400W TDP (Xeon Sapphire 9200) and two CPUs per typical 2U case, cooling is a real challenge, hence my mention of water cooling.
Actually looking at the code a bit, it seems like you could replace the select statements with the various handlers, and hook up some threads to them. It would indeed cook your CPU but that's ok for certain use cases.
But there's a bunch of stuff that isn't that part of the trading system, though. All the code that deals with the format of the incoming exchange might still be useful somehow. All the internal messages as well might just have the same format. The logic of putting events on some sort of queue for some other worker (task/thread) to do seems pretty similar to me. You are just handling the messages immediately rather than waking up a thread for it, and that seems to be the tradeoff.
Originally computers were expensive, and lots of users wanted to share a system, so a lot of OS thought went into this, LMAX flips the script on this, computers are cheap, and you want the computer doing one thing as fast as possible, which isn't a good fit for modern OS's that have been designed around the exact opposite idea. This is also why bare metal is many times faster than VMs in practice, because you aren't sharing someone else's computer with a bunch of other programs polluting the cache.