What I don’t understand about quantum mechanics is the reason nature had to make things so damn complicated. What was the fundamental problem that led to the solution of quantum entanglement, or the duality of the wave-particle situation.
So what you're asking isn't so much "Why is nature complicated?" as "Why is nature not intuitive?". And the answer to that is simple: nature is not intuitive because intuition is a very pragmatic tool evolved to deal with the macroscopic world you inhabit; it would not make sense for it to be optimized for understanding particle physics!
Also, our understanding is simply not complete; it might turn out that there is some relatively simple underlying system and we are merely describing part of the second or third-order effects so cannot see this underlying pattern.
Could an ant ever comprehend or even "see" a microwave oven?
Nature is what it is. We may only ever get glimpses. And a bias toward simplicity may be more a function of human limitation than some fundamental truth.
The reasoning doesn't have to be simple but there must be a pretty good explanation of why it is so complicated. Lets not forget that even Einstein thought that something must be wrong with quantum physics because it doesn't make sense.
Nature is what it is but that doesn't mean that we can't question what's happening and seek answers to every single aspect of life. That's the basis of science.