Answer
The entity is already referenced in the projection at the core/base level — what you're looking at when you try to add it as a new association is the list of customer-added configuration entities, which doesn't include entities the base projection already ships with. Check Page Designer on the relevant page (e.g. the Customer page's Address group) — you'll typically find the entity you're trying to add is already available there as part of the standard projection, which is exactly why the system says it 'already exists.'