Consider the following two situations:
A species X has trait $T_1$ that is gradually selected for by some characteristic $E_1$ in some ecological niche but it turns out that the genes for $T_1$ also "turn on" genes for trait $T_2$ so that eventually species X with trait $T_1$ also have $T_2$. Then it turns out that $T_2$ is evolutionarily advantageous i.e it does help in increasing fitness because of some characteristic $E_2$ in that same ecological niche.
A species X has $T_1$ that is selected for by some characteristic $E_1$ in some ecological niche, this ecological niche also has characteristic $E_2$ that separately selects for $T_2$.
Both of these cases have as the end product $T_1$ and $T_2$ being advantageous for survival but in one case $T_2$ was selected for and in the other it's usefulness was accidental. What in the theory of natural selection distinguishes these two cases? To put things more bluntly, you are an evolutionary biologist and you are telling the standard story that corresponds to situation 2, how do you know (from the theory of natural selection) that we can discount situation 1?
I did a research project for my undergraduate research where I simulated mutations of cells in a petri dish and I know that mathematically these two cases can be disentangled because they lead to two different cluster size distributions with different scaling laws. As a physicist I know what to do but does a evolutionary biologist using theory of natural selection know what to do.
Update: The point is that in case 1 $E_1$ and $E_2$ could act at different times so that only $T_1$ is responsible for survival and $E_2$ while acting $T_2$ was completely useless for it's survival i.e other species disappeared not because they didn't have $T_2$ but because they didn't have $T_1$. Then a naive biologist could tell separate evolutionary stories assuming that $T_1$ and $T_2$ were selected for separately because when the biologist is observing the situation both $E_1$ and $E_2$ are present and $T_1$ and $T_2$ are present. In other words, he or she would assume case 2 occured. In this case, random mutations and natural selection as told in science classes is completely useless because of $\textit{dynamics}$ in the environment and $\textit{correlations}$ that prevent mutations from being just random.
Why does this bother me? Well, because I hear evolutionary accounts that span hundreds of millions of years and it would seem simply applying the Darwinian story naively could make wrong predictions all over the place. I haven't seen people worry about this as they give evolutionary accounts for everything. From sexual behaviors to marketing.