You can reduce it via PCA one of the many techniques in multivariate statistic.
You can do anova to select your predictors.
In general you can use a subset of it using the tools that statistic have provided.
Complaining about messy data... welcome to the real world. As for complaining about non-reproducible models , choose a reproducible ones. I've only done mostly statistical models and forest base algorithms and they're all reproducible.
All I see in this post is complaints and no real solutions. The solution that's given is what? Have less data?
> The results were consistent with asymptotic theory (central limit theorem) that predicts that more data has diminishing returns
CLT talks about sampling from the population infinitely. It doesn't say anything about diminishing returns. I don't get how you go from sampling infinitely to diminishing returns.