When the software doesn't handle it well. I don't particularly like any implementation of high DPI scaling. OS X's scaling caused performance issues for me, and programs would get confused moving between monitors. Linux doesn't have any way that I know of to cope with monitors with significantly different resolutions - eg, I can make the window manager scale everything 2x so it looks good on the 'retina' display, but I still have a 1080p monitor attached too, so then everything is huge on that.
Even without multi monitor issues, scaling tends to be picky with some programs on most OSs. OS X seems to be the most consistent, Linux is a roulette wheel depending on your GPU/window manager/program/day of the week. Windows works sometimes but looks blurry.
I have Linux installed on my work Mac and just run the 'retina' screen at 1920x1200.
Bluetooth is very broken too. Not sure if that's an issue with the drivers or the Linux bluetooth stack in general. Fortunately I only use it for my wireless headphones, which I can live without.
WiFi used to be a big problem when I tried Linux on a Mac at a previous job, thanks to terrible Broadcom drivers, but that all seems fine now.
Been running Linux on a Mac for 2 and a half months now, for me personally the improvements are significant and the issues minor.