I thought it would be worth potentially elucidating why the non-local causality of Copenhagen was problematic for Einstein (why he called it spooky action at a distance) and why it remains problematic for other physicists. None of this is meant to be proof that it can't be correct, only an explanation for why it isn't taken at face value as obviously the correct interpretation.
Physicists, for what you might call "aesthetic" reasons, have I think always tended preferred local causality rather than instantaneous-across-distances causality since physics was even a thing. Einstein himself changed that from a mere aesthetic preference to something a bit more substantial.
Einstein is of course credited with Relativity, and specifically of interest to this conversation is Relativity of Simultaneity. If you observe two events, one over here and one over there, you may be able to say "this event happened before that event". Einstein's relativity of simultaneity says there is some other observer in some other reference frame who can say the opposite "that event happened before this event" - and in relativity, it's not that one of you is right and the other is wrong. You're both right, in your own reference frame.
Now, when events are happening locally, everyone agrees which one happened before the other one. This problem of disagreeing order of events only happens with events that are separated in space.
So, back to Bell's Theorem. You're at a reserch facility. At the middle, you have an apparatus that generates entangled electrons and sends one east, to you, 50m, and one west, to your research partner Alice, 50.000000001m - she's very slightly further away from the middle than you. So, you generate an entangled electron pair, you measure the spin as Up, Alice measure's the spin as Down just a tiny fraction of a second later. The causal narrative of Copenhagen says, you measured your electron as Up, then immediately, faster than light, the virtual worlds collapsed and guaranteed that Alice would measure her spin as Down.
Relativity of simultaneity says, there's some equally valid reference frame where actually, Alice measured the spin as Down first, and that's what caused the collapse of the virtual worlds, the wave function, which caused you to measure yours as Up.
When you combine Relativity with Copenhagen, you get this strange picture of causality. You can't objectively, universally say A caused B, because it's equally valid to say B caused A. THIS is what "spooky action at a distance" means. This is what's spooky about it. This is why Einstein couldn't stand QM when he first learned of it.
Again, this doesn't mean Copenhagen is incorrect, it's just meant to give you some context as to why some people aren't satisfied with Copenhagen.