Right .. the reason why you're not supposed to lift on consecutive days is that if you're lifting properly to build strength and muscle, what you're actually doing is putting tiny tears in your muscles. The way the muscle grows is by healing those tears and becoming bigger and stronger.
So when you do back to back to back weight lifting on the same muscle groups, they never have a chance to heal properly or fully. Eventually you stall out on your progress and you can even cause injury.
If you're doing some kind of cardio/weight/toning class, then it's really not nearly so much of a big deal because although you're moving weights, you're moving them for endurance, not muscle building or strength.
Having said that, I'm going to comment on this:
1 - Women cannot "build big muscle" like men can. We don't have enough testosterone in our bodies. When you see women who are muscley and ripped and bulgey, they're taking something. Also they're workign their behinds off for multiple hours in the day lifting nothing but extreme weights.
1a - When you're eating fewer calories than you burn, you can't build big muscle anyway. You can't build something out of nothing. That's why bodybuilders go through "bulk" and "cut" cycles. They eat more to build muscle, then they eat less to cut the fat.
2 - "Toning" is a myth that is pushed by trainers at big box fitness gyms and magazines that cater to women who don't understand that they can't get bulky lifting weights. What most people mean when they say "toned" is that they have visible shape to their bodies; the way to achieve that is to build muscles and lower body fat. Look at pictures of Meg or Mel over in the weight lifting section - I suspect you'd consider them "toned". They got that way by lifting HEAVY weights.
3 - Growing/maintaining muscle mass is a good thing when you're losing fat. Muscle is metabolically active. That means it burns calories even when at rest. You want muscle - it means you can eat more.
It also makes you stronger which makes you more able to do things like cardio efficiently and effectively. Strong is good. Strong is sexy.
4 - Muscle is denser than fat. When you gain muscle it's extremely lean weight ... so if you lose a pound of fat and gain a pound of muscle, you're going to be thinner and tighter looking. I know a lot of women who have GAINED weight by the scale and lost 2 clothing sizes when they started lifting heavy weights. Their whole bodies reshaped.
I really strongly advise women to LIFT HEAVY WEIGHTS when they're trying to lose fat. Don't quit the cardio, but lift lift lift lift.