Thank you for these points!

Just to be clear: Are you suggesting that A influences Z and Z influences B and C? In that case, does it really matter when I just want to quantify which objective function leads to a better result?
As I am training with A and only observe B and C, the former must be the cause - or am I mistaken?
I trained for the first epoch using A and the correlation coefficients are: c(A,B) ~ 0.3 and c(A,C) ~ 0.5. Therefore, I believe they have a reasonably linear relationship.

Can I do something else or do I need to do ablation studies (i.e. training the whole network with B and C and compare results w.r.t. GT) ?