Attorneys cannot always deliver the news hoped for.
1. Subject matter jurisdiction: Subject matter jurisdiction is an issue for the judge to decide. I believe under FRCP, hearings on preliminary motions such as this are at the discretion of the judge, who can decide to conduct a pretrial hearing, conduct no hearing and merely rule on the motion, or wait to rule at trial before the case in chief commences.
If you correctly made the motion to dismiss for lack of subject matter jurisdiction initially so that it was not waived; consequently, it can raised at any time during the trial and can even be raised on appeal.
2. CFPB Consent Order: A federal judge is a superior authority, and again has discretion. It does seem reasonable to expect that a federal judge would consider and respect such an order from a federal administrative agency, but I do not believe there is a requirement for them to do so. So, no, no abuse of discretion here.
When you received notice of this suit by Plaintiff, you should have asked the CFPB to enforce the consent order on your behalf; you could have also requested a federal court enjoin the Plaintiff from proceeding while you pursued enforcement of the consent order.
At this point, you can also complain to the CFPB and request they sanction the Plaintiff for violating the consent order -- and, as part of that, ask the CFBP to order Plantiff to pay your subsequent legal fees!).
3. Evidence: under the FRCP (and state law), judges are given wide latitude on issues of evidence, though rulings to include or exclude specific evidence may be appealed if an objection was timely made.