This paper RY07, section 4.3, gives an example of how proofs-of-possession can fail to prevent rogue keys in the context of the BMS multi-signature scheme (based on BLS signatures).
The attacker computes his rogue key as $D^* = \frac{g^{d'}}{D} = g^{d'-d}$, where $D$ is the public key of the honest co-signer. The attacker knows the secret key $d'$ but not the discrete log of his rogue key $D^*$, which is $d'-d$.
The paper describes the attacker invoking some magic oracle query $\text{OMSign}(D, D^*)$ to get a BLS signature $\sigma = H(D^*)^{d}$ - i.e. a signature on the attacker's rogue key $D^*$, issued by the honest signer's public key $D = g^d$.
The attacker can then compute a forged proof-of-possession $\pi$ as:
$$ \begin{align} \pi &= \frac{H(D^*)^{d'}}{\sigma} \\\\ &= \frac{H(D^*)^{d'}}{H(D^*)^{d}} \\\\ &= H(D^*)^{d'-d} \\\\ \end{align} $$
$\pi$ is then a valid BLS signature under the rogue key $D^* = g^{d'-d}$, and it will fool the receiver into believing the attacker knows $d'-d$.
But why does the attacker have access to this oracle $\text{OMSign}$? How would a real-world attacker convince an honest peer to sign $D'$?