One simple one: If I start multiple Kopies/file downloads, Windows will run them all in parallel, even if they run through the same connection. So if after 50% there´s a connection drop, all of them will abort. This used to be especially bad on nicely defragmented disks, because the extra seeking makes parallel copies slower then sequential ones.
Even after all this time, they can`t figure out to automatically chain I/O operations (or at least give me some UI to do it explicitly).