Not Dune exactly, but having to run 'eval $(opam env)' in the terminal every time you open an OCaml project rather than the default being npm-like, where you can just open the directory and use the package manager command without having to think about it.
The only issues I've had with OCaml's build system is using "ocamlopt", "ocamlbuild", "ocamlfind" manually, but this was solved by OASIS and now Dune. I don't need to think about it. It automatically compiles when I save the file in Emacs. Very easy to set it up (one time setup).