[nonbel]

There are multiple inference levels here.

First, there is the statistical level, at which we are drawing some conclusion about the model parameter. This may work even for a misspecified model.

Then there is the level at which you want to draw some conclusion about reality, call it the "scientific level". If the model is misspecified, the parameters/coefficients may or may not correspond to the thing of interest. Perhaps the model is a close enough approximation for those values to be meaningful, perhaps not...

I think it is the second ("scientific level") of inference that most people are concerned about. The rigor of the proofs/theorems that may work at the statistical level does not extend to the scientific level.

Afaict, the majority of erroneous inference occurs at the scientific level and statistical error/uncertainty is a sort of minimum error/uncertainty.