In comparison with many full size projector, they lack the brightness (e.g. have to turn the lights down to view), sound quality (Many don't even have any speakers), number of inputs, resolution and other features in general.
For example, don't expect to find many of these projectors to be ceiling or rear mounted and used as a main house TV / entertainment centre any time soon!
As for good reasons, I have a full HD projector that supports a 300" screen and is excellent for daytime viewing - even used it outside! It has all the bells and whistles, I love it - but it is impractical to take with me everywhere I go. I also have a bottom of the range pico projector that I keep (usually) in my laptop bag - for the price, it is amazing what you get and it is cool for giving on the fly demonstrations/presentations when I am with clients.
I am sure they will get there - just not yet. They are very good and a nice gadget, just don't expect it to be as good as a full sized one - however, some of the more expensive ones do have more features.... but just not as good as a full sized one.