I can’t think of a reason why we’d loose them during human evolution.

Some still do.

Useless structures don't disappear quickly. They do, however, tend to disappear over time. It takes energy to have a tail. If a tail is necessary to your survival and reproduction, then it's energy well spent.

However, if a tail is no longer necessary (for example because you walk upright and live on the ground), then those of your species who have smaller tails (through natural, chance variation) have a small advantage, particularly when times are hard. They don't have eat more to maintain a tail, their kids don't have to eat more to grow tails, mothers don't have to eat more to provide for tail development in the womb.

Over time, this small advantage may lead to small-tailed people prevailing. People who have yet smaller tails (through natural, chance mutation) will have a small advantage... and so on.

We still have a toe-curling reflex, presumably also from our tree-living past. It doesn't take much energy to maintain a reflex, so it has stuck with us, although completely useless.

Thanks newnick. Makes since.