I'm trying to understand why, precisely, we cannot use classical probability theory in quantum mechanics. I came across an explanation of the Stern-Gerlach experiment, saying that if $X$ and $Z$ are Bernoulli random variables for the $x$ and $z$-spin of an electron, if we measure the $z$ spin first, the expectation of the $x$ spin is always $0$. If we measure the $x$ spin first, the expectation of the $z$ spin is always $0$. The idea is that this then contradicts $\mathbb{E}(XZ)=\mathbb{E}(ZX)$ from classical probability theory. I have two questions.
Why does the random variable $XZ$ represent a measurement of $X$ first, and then $Z$? I would think the conditional expectations $\mathbb{E}(X|z)$ and $\mathbb{E}(Z|x)$ are the relevant things to look at. But then what does this have to do with non-commutativity of $X$ and $Z$?
I think I'm also not exactly understanding the claims of the experiment as well. My understanding is, you need three Stern-Gerlach detectors to see something interesting. You send an electron through a $Z$ field and filter out the down spins, then you send the result through an $X$ field, and filter out the down $x$-spins, and you send the result through another $Z$ field and you get a 50-50 distribution of $z$-spins. I'm not exacting seeing how this is the same as the explanation in the first paragraph. If the spins are +1/2 and -1/2, the expectation of $X$ and $Z$ should be $0$.