They’re unreliable. Different implementations mean not all clients support all types of DMs. You don’t know what you haven’t received, because your client may not support that type of DM. Older implementations can leak certain info and metadata. For instance, you can login with anyone’s npub and potentially see who they’ve sent DMs with and when, even if you can’t read the message contents. And your nsec is ever compromised, those DMs are forever public.