It is pretty paradoxical and got me thinking. I don't know how to measure the value of my vote. I feel like the immediate value is less than the effort, but on the other hand, I don't think it's so simple. As you said, if no "rational" people vote, that's catastrophic and so I'm helping to maintain a larger system. Maybe a culture. Movements can have collective power no individual can have, but they can't exist without individuals. It's hard to measure the value or effects of a culture as they are often not clearly visible or direct. The effects can play out over a long time too.
About voting with your wallet, I agree that it'd be best if companies actually had to pay for those externalities you mentioned. If you have spare money to spend, you can view not choosing the cheapest option as supporting or donating. That's what I sometimes do when e.g. buying locally instead of ordering from somewhere far for cheaper. I can get local faster and it's more convenient, so there's lazyness, but thinking about it as supporting helps me rationalize it further (and it is true). I don't think it really hurts me more than buying something else that I don't strictly need. I see indirect value in trying to uphold things I like.