Esau had already married Canaanite women, and he was aware that this had grieved his parents, Issac and Rebekah. Jacob was told not to marry a Canaanite woman, but instead to marry a woman from his uncle, Laban's tribe. Esau knew he parents were unhappy with his other wives. Why would he make that choice to marry an Ishmaelite woman, when he had to know this would upset his parents?
Genesis 28:1 - 22
ESV - 1 Then Isaac called Jacob and blessed him and directed him, "You must not take a wife from the Canaanite women. 2 Arise, go to Paddan-aram to the house of Bethuel your mother's father, and take as your wife from there one of the daughters of Laban your mother's brother.
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I think it is the opposite of what you are assuming... Since Jacob was told to marry within the family, I believe that Esau was attempting to do the same thing. Ishmael was his uncle, and therefore he was trying to please his parents by marrying in the family. Perhaps Esau believed that marrying a cousin (as Jacob was being directed to do) would put him back in his father's good graces, and Isaac would then be able to give him some sort of blessing.
I think that this is supposed to be an illustration of his character. He respects his parents only in a shallow way. A good illustration is when Esau plans on killing Jacob as soon as his father dies (Genesis 27:41). He respects his father enough not to kill Jacob in his lifetime, but seemingly doesn't care that killing Jacob as soon as Isaac dies would also be against his wishes. In the same way, Esau probably should have known that his parents didn't want him to marry a Canaanite wife. Apart from the fact that they told Jacob not to marry a Canaanite woman, Abraham had also made sure that Isaac wouldn't marry a Canaanite woman (Genesis 24:3). When he finds out for certain that his parents don't want him to marry a Canaanite woman, he marries an additional wife instead of divorcing the wife his parents disapprove of, which is also a way to comply in a way with his parents' preference but without requiring him to restrain his own. So he was only partially obedient.
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