A classical analogue to entanglement is not problematic for causally connected processes and in some cases it's a good model, like with human reasoning or neural networks. QM is a generalisation of bayesian reasoning that can handle non-commuting variables.

Yet entanglement is observed non-locally, even backwards in time or between degrees of freedom that never co-exist. Nobody has been able to create a non-local model that doesn't require fine tuning and the idea goes against the spirit of special relativity.

Thus, I would agree with you, there is no "problem" with entanglement. Except non-locality.