What are the most misleading things in life? or in the modern world?

The idea that the system (legal, economic, social) is fair, just, and works the way it's supposed to.

Insurance, especially if heavily regulated, especially if mandatory: "oh yeah but this law from that year when this rule was not yet in force meant that this special exception triggered this special ruling and in conclusion you don't get anything, thanks" is becoming a classic of my encounters with it.

Media, including the Internet. It just presents a warped view of reality.