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Im sure there are many reasons why this is problematic, at least in clinical psychology, it’s a measurement problem for me. Are there others (more consequential) that I am missing?

More covariates do not equal enhanced partial effects. It’s good in theory, but not in practice. Most items or multidimensional variables are polluted with measurement error.

So when you start adding covariates to partial out shared variance, you actually remove meaningful variable, and leave a greater share of ME and small bits of the original construct.

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So by adding in as many covariates as possible, whatever variance your primary predictor of interest, is no longer the same construct you had at the start.