First of all, go and read the excellent article Document Set Limitations and Considerations in SharePoint 2010 written by Michal Pisarek.
Ok, you’re back and have read all those? Great! I’ve got a few more for you.
Shared Fields are push down only:
If you go into a document within a document and edit a property which is set as a shared property for the Document Set that change does not get propagated to the either the containing Document Set or to other documents within the set. If you need to change these across the entire Document Set you must make the change to the Document Set itself and then SharePoint will propagate these changes down.
Versions have to be declared:
Despite the fact that a Document Set itself can have metadata which users change there is no automatic tracking of changes made. You must use the Capture Version functionality manually to record changes made against the metadata at a Document Set level.
No Check-In/Check-Out functionality:
The notion of check-in/check-out does not apply to Document Sets. This kind of makes sense when you consider that they are just special folders and a check-out at the folder level would imply that they user had also checked out all child documents. But it’s a little annoying, especially as there is metadata against the Document Set which users can freely edit with no automatic version history captured.