Let $\psi(x)$ be the field of the electron. Its Fourier transformed two-point function reads $$ \langle\psi\bar\psi\rangle=\frac{1}{\not p-m-\Sigma(\not p)}. $$
If we calculate $\Sigma(\not p)$, we observe that it depends on the gauge parameter $\xi$, which in principle is not a problem because $\Sigma(\not p)$ is not observable by itself.
But if we think of a gauge transformation as taking $\psi\to\mathrm e^{i\alpha(x)}\psi(x)$, then the two-point function should satisfy $$ \langle\psi\bar\psi\rangle\to \langle\psi\mathrm e^{i\alpha(x)}\mathrm e^{-i\alpha(x)}\bar\psi\rangle=\langle\psi\bar\psi\rangle $$
Therefore, one would naïvely expect $\Sigma(\not p)$ to be gauge invariant, and therefore it shouldn't depend on $\xi$. What is the solution to this contradiction? Why do our expectations fail?