To chime in as well: my own understanding of 'correlation does not imply causation' does not come from the basic statistics courses and articles and tutorials I read. While I knew the saying and the concepts and a little bit about causal graphs, it took years of failed self-experiments and the intensely frustrating experience of seeing correlate after correlate fail randomized experiments before I truly accepted it.

I don't know how helpful, exactly, this has been on a practical level, but at least it's good for me on an epistemic level in that I have since accepted many fewer new beliefs than I would otherwise have.