Biggest pain is that users with metered connections have no means of managing when Steam/game updates occur, so our bandwidth is used up unexpectedly and that is $$$ over the course of a year.
Second is Steam's track record of losing accounts or having accounts hacked. As people get more used to online transactions and Steam improves, this is less of an issue than it used to be. Still, the fact is there are people who are locked out of what they purchased.
Third is the fact of having a third-party in the middle of your transactions with the company (ISI and now Studio397). Occasionally this leads to finger-pointing when trying to resolve a problem.
Fourth is that a few people are not connected all the time to the Internet. Installing Steam, for them, feels like a pointless exercise.
I feel that ISI/Studio397 are well aware of these issues and do their best to mitigate them while still moving forward. Sometimes that means losing a few customers in order to improve the service for the majority.