Ya, I agree with you that it's definitely tricky business. Including features like zipcode in something like a loan payment predictor is a good example of a sloppy proxy for the underlying and relevant features. Especially when certain data becomes hard to resist using, when something like zipcode of residence might have a 90% overlap with income range and be extremely trivial to acquire, whereas getting detailed and accurate income information from an applicant might be much harder. Tricky stuff.