I am searching for a category $\mathcal C$ defined by a species of structures with morphisms $\Sigma$ (here I mean what is called 'espèce de structure' in Bourbaki Set Theory, chapter IV; put simply: the objects of $\mathcal C$ are sets endowed with some structure and morphisms are set-theoretic maps that respect this structure) such that the following holds:
- direct limits (taken over directed sets) exist in $\mathcal C$;
- the underlying set of a direct limit in $\mathcal C$ is not in general the direct limit of the underlying sets.
Please ask me if something is not clear. Thanks in advance.
The simplest examples of such things are categories of structures with infinitary operations.
For example, let $\mathcal{C}$ be the category of sets $X$ equipped with a function $\alpha : X^{\mathbb{N}} \to X$, with morphisms those maps that commute with $\alpha$. It is easy to see that $\mathcal{C}$ is complete, and in fact (but not so easily) $\mathcal{C}$ is also cocomplete.
I claim that the forgetful functor $\mathcal{C} \to \mathbf{Set}$ does not preserve filtered colimits in general. Indeed, if that were true, then the union of a chain of substructures would always be closed under $\alpha$, but one can straightforwardly find a counterexample. (For instance, take $X = \omega_1$ and $\alpha = \sup$.)