Most problems materialize after the ecu starts trying to 'fix' what you've done to your air flow. The people that see the problem right away have cleared the memory by disconnecting the battery to give a quick learn to the ecu.
When you change the air flow before turbo, it effects the flow through the maf and gives inacurate readings for the way the ecu is programmed. Sometimes the change will make it run rich, sometimes lean. A good tuner should be able to teach the ecu how to read the new information and correct the issues.
Some changes in that area can cause mixed results based on air speed. In those cases, the tuner has way more work than it is worth in power adding and they will say that this piece is not worth tuning for (or the short answer is 'that is a piece of crap, get ------ instead'.

 

The short of it is, you can run very lean on an intake without a tune. People that have intakes sometimes put VTA BOVs on that mess with the MAF. You're also sucking in hot air, when the stock ox has a snorkel to the incoming outside air. To each their own, though.

 

Even with a tune some cone filter still produce irregular dyno graphs. Some tuners will have problem trying to tune cone intakes. I believe even with a tune you still must have the right intake that creates the vortex that the stock airbox creates. A dual funnel intake cone filter will do that job. The Apexi, the rmr and the buschur intakes are dual funnel. I am not an expert, but just watching different dyno's done on different intake you can see the difference. Just my .02cents.