1. The SDK lists most of the KEY EVENTS that FSX provided (none added since by L-M of course), but unfortunately many simply do nothing.
2. Most of the controls you can assign in the MSFS assignments are just not exposed to applications.
3. There's no access for applications to any weather data.
4. There's no access to viewing and panning actions for applications.
5. Loading and saving flights and plans is not controllable by applications -- flights save via the SimConnect interface are not compatible with MSFS flight loading.
Currently the biggest problem, though, is that running ANY SimConnect application wrecks MSFS performance, halving the FPS or worse and causing bad stuttering.
Those, off the top of my head, are the biggest ones. SimConnect is a work in progress in MSFS and quite honestly has been pretty neglected throughout MSFS development so far. The priorities seem to have been on the graphics, and adding many aircraft. We have been pushing for fixes in the above areas, so far with not that much effect. Hopefully that changes now that the pressure, presumably imposed by the money people above, should be off getting the product out of the door.