The density matrix is as real as the wave function when it comes to describing the corresponding subsystem. In the situation I was sketching, there is no measurement, no collapse, and the "measurement problem" does not play a role. Here is a concrete example: Suppose that you have three spins that are in a superposition of |000> and |111>. Alice has one the spins, Bob the other spin, and the third one belongs to the environment. The reduced state of any two of the three spins is NOT entangled. Therefore, Alice and Bob which will not be able violate any Bell inequality, win a CHSH game, distill Bell pairs, etc. if they only control two of the three spins. It is irrelevant that Alice is entangled with the joint system of Bob and Eve.
Again, the basic point is that the notion of entanglement refers to a choice of subsystems. Your statement that "All components of a quantum system are always entangled" is either trivializing the discussion or demonstrably false.