"Marginal CVA may be useful to breakdown a CVA for any number of netted trades into trade-level contributions that sum to the total CVA. Whilst it might not be used for pricing new transactions (due to the problem that marginal CVA changes when new trades are executed, implying PnL adjusting to trading books), it may be required for pricing trades transacted at the same time..." - John Gregory
Why would a marginal CVA change when a new trade is executed? I can see that the marginal CVA of a trade is time dependent, as the exposure of a trade changes so would its marginal CVA.
Putting aside that I don't understand how the marginal CVA wold change as a trade is added, why is this a problem for pricing the risk? A trader submits a transaction to the CVA desk for pricing of the risk so that it can be charged back to the counterparty, they come up with the value and voila done. What am I missing ?