Yes, but when there are many degrees of freedom, that minimization might not happen in the way you expected, and if your loss function was only an approximation

Yes, but when there are many degrees of freedom, that minimization might not happen in the way you expected, and if your loss function was only an approximation to your utility (because you weren't sure how to precisely codify "goodness"), the difference between the behavior you hoped for and the behavior you actually get might be very bad. For example, you attempt train an AI to get good behavior via a penalty button and reward button; an approximately-optimal strategy might include shooting the researcher to prevent him from pressing the penalty button, and then mashing the reward button itself.