Speaking from my DE experience at Spotify and previously in startup land, the biggest challenge is the slow and distant feedback loop. The vast majority of data pipelines don't run on your machine and don't behave like they do on a local machine. They run as massively distributed processes and their state is opaque to the developer.
Validating the correctness of a large scale data pipeline can be incredibly difficult as the successful operation of a pipeline doesn't conclusively determine whether the data is actually correct for the end user. People working seriously in this space understand that traditional practices here like unit testing only go so far. And integration testing really needs to work at scale with easily recyclable infrastructure (and data) to not be a massive drag on developer productivity. Even getting the correct kind of data to be fed into a test can be very difficult if the ops/infra of the org isn't designed for it.
The best data tooling isn't going to look exactly like traditional swe tooling. Tools that vastly reduce the feedback loop of developing (and debugging) distributed pipelines running in the cloud and also provide means of validating the output on meaningful data is where tooling should be going. Trying to shoehorn traditional SWE best practices will really only take off once that kind of developer experience is realized.