Good answers by my colleagues. We too often want it both ways when we analyze Macbeth's character--we want to believe he is somehow a pawn of the witches but also that he is master of his own fate and the blood of his crimes is on his own hands. Both can't be true. He makes his own choices--starting with his choice to believe the witches and begin his murderous ascent to the throne he so obviously and desperately wants. I'm not sure what lesson you think he should have learned, but he continues his bloody and rather paranoid ways until the very end. There is no real change.
I think that the question reveals how Macbeth bears most of the responsibility for his predicament. It has been argued that he is a "tool" of the witches and fate, and I am not sure how much I can buy from that sale. Macbeth does the bidding of the witches out of his desire to consolidate more control and greater power. He "plays so willingly" because of the benefit to self. It's not as if he exercises much in way of caution at this point in the play. Rather, he zealously pursues ways to increase his own power and his own sense of self. The witches help him in this pursuit, so he is going to do what is asked because he is not in a moral or ethical position to refuse to do so.
In your question concerning Shakespeare's Macbeth, you don't identify when "by now" is. What act and scene are you referring to?
I will make the assumption that you are referring to his decisions after meeting with the witches the second time, in Act 4.1.
But again, there's a problem with your question. I have to ask: what lesson is he supposed to have learned? He's king! He got what he wanted. The only thing that has gone wrong is that Fleance escaped the murderers Macbeth sent to kill him, but any negative consequence to that is presumably years away, and effects Macbeth's legacy, not his reign.
Thus, no, I am not surprised that he hasn't learned his lesson. He is successful at this point. His wife is not yet ill, Malcolm has not yet joined forces with Macduff, nothing concrete has resulted from the appearance of Banquo's Ghost, and Macbeth wields full control in Scotland.
Furthermore, even if the ghost incident is a big problem, Macbeth was riddled with guilt even before killing Duncan, and that didn't stop him then, so there's no reason to assume it would stop him later.
The witches' first predictions prove to be accurate, as far as Macbeth is concerned: he's Thane of Cawdor and king. In Act 4.1 he simply goes back for more. This is natural behavior for Macbeth. It wouldn't be for Banquo, for instance, but it is for Macbeth. It is not surprising.
It is interesting that in Roman Polanski's film version of Macbeth, Polanski repeats this sequence at the end in the sense that his film ends with a man on horseback stopping in front of the cavern of the witches. It is not clear whether it is Malcolm or Donalbin who now approaches them in an ambition to win back the power from Macduff.
I would like to agree with the two posts. Yes, there seems to me no doubt about the fact that Macbeth is completely under the spell of his 'vaulting ambition'. Like a Marlovian 'overreacher', he just wants more and more after the intial accomplishment.
When blind ambition rules a human being, with blind being the key word here, I am not in the least surprised. Macbeth is focused on his goal, but I believe Shakespeare is making just this point. The ambition which rules him will destroy him. Playing into the hands of the witches is just part of the master plan of that destruction. That a play this old is still applicable to modern life indicates the brilliance of Shakespeare and his understanding of the human condition.