"Why are rhumb lines a constant track direction and great circles always changing direction?"
Because your definition already says it - rhumb lines are lines of constant direction therefore they cut all meridians at the same angle. Try it on your globe - you will see that they spiral towards the Poles. Lines of latitude are also rhumb lines. The Equator is a rhumb line and a Great Circle. All combinations of meridians and anti meridians are Great Circles.
Look at your globe from the top and try to go between two points using a constant direction and going directly via Great Circle - you will see the rhumb line is longer. However, on shorter journeys it is more convenient to fly one heading and accept the longer distance travelled.