If everyone blindly relies on KS tests without examining the context, then interpreting results becomes a risky strategy.
The realization of the methodology through test execution is conditional, not absolute, as incentives are often misaligned.
The gain for a researcher is to publish similarities, but the market can incur a high cost if the underlying assumptions are shaky.
Imagine a fund using KS tests to prove the similarity of its returns to an index, while its empirical data come from an illiquid market.
Full transparency of data and methods is required to avoid false security and maintain trust.