They require a lot more player coordination to figure out OOC backstories that make sense with the setting and allow all of the characters to keep their defining traits and formative experiences. When it's well, you can get amazing crossover CR between characters who probably wouldn't even interact that much in an OU game. When it's not done well, you can get ooc players and overbearing mods who are so protective of their little sandbox that they don't let players create anything. But the biggest problem with AU games is that they tend to be small games with older, slower players, so if there's not a solid, dedicated playerbase then everything quickly grinds to a halt.

I love AUs, and most of my best RP experiences have been in AU games. I wish there were more of them! It's fun adapting characters, although not all characters can be made to work with all settings.