1) There is no Data cassette port, which means you can't use a printer interface without some hacking (most pull +5v from that port)
2) The SX incorporates a completely different ROM revision than other 64's and 128's, in part because of the missing Data cassette port. This revision makes it incompatible with a scant few programs as I understand it (likely those that expect the machine to still have a cassette buffer at $033C).
3) The User port has one of the 9VAC lines grounded, making it incompatible with some user port accessories (EPROM burners for example).
4) The expansion port, while logically compatible, has problems on some machines because of the short ribbon cable used to connect it to a nearby circuit board. I've had minor troubles with some expansions, and CMD recommends not using such things as RamLink or the Super CPU with an SX-64.