But two-step forecast-decision separation (i.e., CE) is very special. Situations of asymmetric loss, for example, immediately diverge from LQG, so certainty equivalence is lost. That is, the two-step CE prescription of “forecast first, and then make a decision conditional on the forecast” no longer works under asymmetric loss.
Yet forecasting under asymmetric loss -- again without reference to the decision environment -- seems to pass the market test. People are interested in it, and a significant literature has arisen. (See, for example, Elliott and Timmermann, "Economic Forecasting," Journal of Economic Literature, 46, 3-56.)
What gives? Perhaps the implicit hope is that CE two-step procedures might be acceptably-close approximations to fully-optimal procedures even in non-CE situations. Maybe they are, sometimes. Or perhaps we haven't thought enough about non-CE environments, and the literature on prediction under asymmetric loss is misguided. Maybe it is, sometimes. Maybe it's a little of both.