Sure, you can build a discriminating classifier or generative model that is the most accurate, correctly identifying / emulating the reality of our world down to 5 nines; and nobody says you shouldn't be able to identify or quantify all of these "inconvenient" associations. The trouble is always when you intend to make decisions based on your framework -- the decision to offer somebody a loan, the choice of language your chatbot uses, etc. -- and that is where fairness ought to be paramount.
And yes, if you manage to build a discriminating model that sneaks in protected classes through indirect causal effects with no attempt to suppress them, it would yield your insurance agency higher returns over time, and just because that's the way the world is, currently. But all this would achieve is perpetuating the current status quo, placing short-term gain ahead of long-term equality. You might be doing right by yourself, but that still makes you morally impugnable.
One shouldn't need to wait for an overreaching law prohibiting such indirection, to do the right thing.