It is known that if two ensembles result in the same density matrix, then they give rise to the same observable statistics and the two ensembles are related by a transformation described in this post.
So this leads me to ask a really naive question. Given two ensembles that give rise to the same density matrix, can we always just swap one for the other?
More specifically, suppose $\mathcal{E} = \{(p_{i}, |\psi_{i}\rangle)\}$ and $\mathcal{F} = \{(q_{i}, |\phi_{i}\rangle)\}$ result in the same density matrix. Is there a situation where a system is modeled with ensemble $\mathcal{E}$, and blindly swapping $\mathcal{E}$ for $\mathcal{F}$ leads to wrong and fallacious results?
Let me explain why I don't think it's obvious to me that equivalent ensembles are interchangeable. For example, suppose we have system $A$ modeled by ensemble $\mathcal{E}$, and then we let it interact with system $B$ to get an entangled (possibly mixed) state. Wouldn't it matter if $A$ was modeled by $\mathcal{E}$ or $\mathcal{F}$ in this case? Or does it end up not mattering?
If it doesn't matter, is there a general proof showing that ensembles that give identical statistics continue to give identical statistics even if you let the system start interacting with other systems?
Also, what if systems $A$ and $B$ are already entangled? They have joint density matrix $\rho^{AB}$, and by taking the partial trace I can get $\rho^{A}$ for system $A$ only. Am I allowed to start attributing ensembles to system $A$ however I wish (even if $A$ and $B$ are entangled)?