The biggest issue with RP concepts is that you need to do it with other people. This takes time. This means you may have to compromise on your idea because the other players have different ideas/limits. And most importantly: Sometimes the RNG is not in your favour.
Update: My biggest issue with RP concepts is actually scheduling a game with players. (I am trying to run an RPG after giving up on the previous one because 3/5 players never had time for it. Now I have a new campaign where it looks like we are playing once a month because none of the people who eagerly wanted to play the campaign, have time for it.)
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