The first, and more minor problem I've hit recently, is that WSMakeStubs doesn't provide an easy mechanism for supporting HTTP authentication. That's not too big of a deal since it can be worked around with a few tweaks to the generated code. Web Services Core does provide a way to support this, but it's not necessarily something that would be obvious to somebody new to the platform.
The show-stopper, however, for many web services is that there is absolutely no mechanism for specifying attributes for an XML attribute that's passed inside your SOAP envelope. So, if a web service requires some piece of information to be passed in using an attribute, you're pretty much screwed.
There is a way to make Web Services Core do this, but it's such a hack, that you'd probably be better off rolling your own client libraries. It involves writing your own serializer and overriding the XML serialization for the CFTypes you use. It's an ugly hack, difficult to implement and even harder to explain. It's not the type of code you want to maintain if you're likely to have much turnover in your development staff.
I opened a bug report with Apple, but I'm not overly optimistic that they'll fix this, to be honest. They don't seem overly concerned with SOAP web services at the moment.
This could be a big deal if you're an iPhone developer, though. You see, Apple appears to be trying to position the iPhone into the enterprise by adding Exchange support, and a lot of new iPhone developers that I've met come from a background of working in Corporate IT shops. Many of the web services used inside the corporate enterprise are written using Microsoft tools that support (and even encourage) using attributes in the XML tags in SOAP methods. In fact,a prime example of this is the Exchange WSDL itself. It has required attributes in at least one tag on every single exposed method. This means you currently can't write a Cocoa client for even a single exposed method from the Exchange WSDL using WSMakeStubs or Webs Services Core. You can write one, of course, but it's going to be a lot of work.
I'm honestly concerned about the impression this is going to leave on people coming to the iPhone from .Net, which has very robust Web Services libraries. Many of the new Cocoa developers I've talked to lately have experience with .Net. Of course, the long-time Cocoa developers are trying to convince these newcomers how wonderful Cocoa is, but things like this kind of get in the way of proving that point.