As I understand it (just first following up on my original question about whether one can use a decision analysis for a prognostic rather than diagnostic risk model), the way they use decision curve analysis here makes sense, since the derivation cohort consisted only of statin-naive patients. Essentially, in the original decision curve analysis paper, they were considering whether to treat based on the presence of some disease, with a model for the probability of this presence. This is diagnosis rather than prognosis. However, if one is prognosticating only within untreated patients, then a decision-curve analysis equally applies, I think - if a patient has a high risk of future disease, they might like to start treatment.
If however in the cohort used to derive such a prognostic model the patients were started on a statin later, this could complicate things, I think. In the decision curve analysis paper, this risk is independent of treatment effect (it can depend on one fixed treatment, as mentioned above, but it does not necessarily incorporate treatment effect). However, if one has patients in the cohort who are later starting treatment, then this risk will depend on that.
Either way, I think that we want good calibration in the end, and then the risk estimate can be used to make a decision. In the expected reward framework we have
E_{\pi} (R|S=s)= \int_{s'} \sum_a R(s,a,s') p(s'|a,s) \pi(a|s) ds'
where R is reward, S baseline covariates, A treatment, and S' final outcome. I wrote a short tutorial on this here.
Note the term p(s'|a,s). This can be estimated with a risk model, and calibration helps us assess whether our estimator p_n(s'|a,s) does a good job of estimating p(s'|a,s). Hence, if the model is well calibrated, it will do its job in downstream decisions.
However, either way, note that p(s'|a,s) in expected utility is taking into account the treatment A. Generally p(s'|a,s) would be estimated with a trial. It is actually the basis of the treatment effect, which is a function of both p(s'|1,s) and p(s'|0,s).
In a sense, the authors in the study linked above are developing a model to estimate p(s'|0,s), and therefore their model does depend on treatment. Overall, however, there will still be uncertainty though with respect to p(s'|1,s), which will impact the decision. Imagine an extreme example in which the drug really doesn’t work at all, which will be reflected by p(s'|1,s). Then an evaluation of a decision should depend on p(s'|1,s) or some contrast between p(s'|1,s) and p(s'|0,s).