The apparent mystery in particle-wave dualism is simply an artifact of using bad categories. It is a misleading historical accident that we hear things like "light is both a particle and a wave" in quantum physics lectures. Really what teachers should be saying is that 'particle' and 'wave' are both bad ways of conceptualizing the nature of microscopic entities. It turns out that the correct representation of these entities is neither as particles nor as waves, traditionally construed, but as quantum states (which I think can be understood reasonably well, although there are of course huge questions regarding the probabilistic nature of observed outcomes). It turns out that in certain experiments quantum states produce outcomes similar to what we would expect from particles, and in other experiments they produce outcomes similar to what we would expect from waves, but that is surely not enough to declare that they are both particles and waves.

I do agree with you that entanglement is a bigger conceptual hurdle.