If you are familiar with the question 'an opamp has zero voltage between the input pins, so how can it produce an output?', then you have the answer.

A PLL is a feedback system, with infinite gain at DC, large gain well below the loop bandwidth, gains around unity around the loop bandwidth (in fact unity gain defines the loop bandwidth, the loop filter doesn't!), and attenuation well above the loop bandwidth.

At frequencies above DC, the gain is finite, so there will always be some phase error. With a well specified and designed loop, that phase error will be within your specifications.

If you are familiar with the question 'an opamp has zero voltage between the input pins, so how can it produce an output?', then you have the answer.

A PLL is a feedback system, with infinite gain at DC, large gain well below the loop bandwidth, gains around unity around the loop bandwidth (in fact unity gain defines the loop bandwidth, the loop filter doesn't!), and attenuation well above the loop bandwidth.

At frequencies above DC, the gain is finite, so there will always be some phase error, however small. With a well specified and designed loop, that phase error will be within your specifications.