Such a powerful king; why did he not listen to the soothsayer and his wife?

In Act I, scene ii, Caesar ignores the soothsayer's warning, "Beware the ides of March."  Caesar addresses himself in the third person, responding, "Speak, Caesar is turn'd to hear."

Later in Act III, scene i, Caesar sees the soothsayer again and, jokingly, says that I ain't dead yet: "The Ides of March are come; Ay, Caesar, but not gone."  He later refuses Metallus as to reversing the decision of his brother's exile: "I am constant as the northern star."  His own wife and two others also warn him not to go to the capitol. 

Caesar obviously suffers from an arrogance of power and a megalomania (obssessive, delusional fantasy) in his position as "King."  He addesses himself in the third person, as if he is a character in a play, a clear sign of grandiose delusion.  He arrogantly thinks he is "God's chosen vessel," and--as such--invincible.  He suffers from a lack of flexibility as well.  Once he has made a decision, he stays the course stubbornly.  To deviate is to show weakness.  The coronet has clearnly gone to his head.