You'll have to whitelist some Microsoft domains if you want to get achievements working for games that use a Microsoft account.

Nope, no issues.

I can’t think of any problems I’ve faced in over 3 years. I have an app on my phone that I can use to temporarily disable my Pi-hole if I need to do some testing, but I don’t know if I’ve ever had a situation where the Pi-hole was the source of a problem. Definitely not a maintenance headache. I run an update on it every now and then, but only because I see a notification that there is one, not because there’s something going wrong.

I'm using a bunch of blocklists, and the only downside I've experienced is Teams being blocked.

Kind of problematic when you look for a job ><

But once you whitelist it, no problem

Depending on how you configure it you can run into issues with sites and apps that use trackers.

I've seen it cause issues when you try and use Google Analytics console. You can add white list entries to groups and then add devices to that group. Works well.