Since you would be paying to the insurance company the same premium or investment amount (e.g., $100,000) for the annuity with a 3% COLA as you would for an annuity without a COLA, the only way the company can show annual increases is by reducing your monthly payments in the earlier years.
In other words, when someone buys an annuity with a COLA they are not necessarily receiving more total income over their normal life expectancy than they would have received from an annuity without a COLA provision. It’s just that the COLA annuity's payments are distributed differently, starting with much lower payments in the earlier years and increased payments in the later years.