@zonde, please look at it this way. We've got entangled particles with state |11> + |00>. (Ignoring normalization). Suppose Alice uses 0 degrees setting on her detector and Bob uses 30. Suppose Alice gets 1, spin up. We can safely make the following "CFD 1" assertion:
CFD 1: "If Bob had used 0 setting also, A & B would have read the same result."
That's a counterfactual QM statement, nevertheless it's as reliable as any in classical mechanics. However we can't say this:
CFD 2: "If Bob had used 0 setting also, he would have measured 1."
Instead, if "we could run it again", (which of course we can't), it's a new QM calculation. Yes, Alice and Bob would definitely detect the same spin. But it might be up or down, 50 / 50 chance. The fact that A got 1 before is irrelevant.
Now, putting is simply but more or less accurately: Bell-type experiments and inequalities (including CHSH, GHZ, etc) prove you can't assert the CFD 2 assertion. If you do, you can't get the right experimental results.
With or without non-locality.
Personally I don't find any of this excessively weird. It's good physics.
So, what part of it don't you accept?