I intuitively find the following picture very plausible. On the one hand, there are mathematical claims, like the Banach-Tarski Theorem or Euclid's Theorem on the Infinitude of the Primes. These are mysterious (especially the former!), and tempt one to some sort of non-realism. On the other hand, there are purely logical claims, like the claim that the ZFC axioms logically entails the Banach-Tarski Claim or that the Peano Axioms logically entail the Infinitude of the Primes. Pushed further, this intuition leads to something like logicism, which we all know has been refuted by Goedel. But I want to note that the whole picture is misleading. What does it mean to say that p logically entails q? Well, there are two stories. One is that every model of p is a model of q. That's a story about models, which are mathematical entities (sets or classes). Claims about models are mathematical claims in their own right, claims in principle just as tied to set-theoretic axioms as the Banach-Tarski Theorem. The other reading is that there is a proof from p to q. But proofs are sequences of symbols, and sequences of symbols are mathematical objects, and facts about the existence or non-existence of proofs are once again mathematical facts, tied to axioms and subject to the foundational worries that other mathematical facts are. So the idea that there is some radical difference between first-order mathematical claims and claims about what logically entails what, such that the latter is innocent of deep philosophy of mathematics issues (like Platonism), is untenable.
Interestingly, however, what I said is no longer true if we replace logical entailment with metaphysical entailment. The claim that the ZFC axioms metaphysically entail the Banach-Tarski Claim is not a claim of mathematics per se. So one could make a distinction between the mysterious claims of mathematics and the unmysterious claims of metaphysical entailment--if the latter are unmysterious. (They are unmysterious if one accepts the causal theory of them.)
This line of thought suggests an interesting thing: the philosophy of mathematics may require metaphysical entailment.