Why doesn’t Allah talk directly with me so I can be sure that He exists?
Like He talked directly to the Prophets (a.s) and Imams (a.s).

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1- He did not talk to any body directly other than two prophets, Moussa and Mohammad.
2- Suppose he spoke to you, how you will know that Allah speaks to you, not something else, like shaytan?

To know that he is Allah, you will ask to see him, do not you?