Consequentialists are supposed to estimate all of the effects of their actions, and then add them up appropriately. This means that they cannot just look at the direct and immediate effects of their actions, but also have to look at indirect and less immediate effects. Failing to do so amounts to applying naive consequentialism. That is to be contrasted with sophisticated consequentialism, which appropriately takes indirect and less immediate effects into account (cf. the discussion on “simplistic” vs. “correct” replaceability on 80,000 Hours’ blog).
As for a concrete example, a naive conception of consequentialism may lead one to believe that it is right to break rules if it seems that that would have net positive effects on the world. Such rule-breaking normally has negative side-effects, however - e.g. it can lower the degree of trust in society, and for the rule-breaker’s group in particular - which means that sophisticated consequentialism tends to be more opposed to rule-breaking than naive consequentialism.