For one, only select models are officially supported. And, surprise, Apple is only supporting some of AMD’s Radeon cards, which it already includes in select Macs. That doesn’t strictly mean a GeForce card won’t work — people have gotten some to work while the feature was in beta — but it means you’re gambling a bit around whether it’ll continue to work.
You also won’t be able to use external GPUs on Windows through Boot Camp. And just because you have an external GPU plugged into your computer when it’s running macOS doesn’t mean it’s going to be doing anything, either; developers have to enable support for it. Finally, you’ll also need to have a new enough Mac, since external GPUs rely on the super-fast speeds provided by Thunderbolt 3. That includes 2016 and 2017 MacBook Pros, 2017 iMacs, and the iMac Pro.
For now, the list of caveats with external GPUs is perhaps longer than the list of things you’re able to do with them, but this is certainly a look at the future. Imagine all the benefits of today’s portable machines, but without sacrificing the ability to do intensive video editing or high-end gaming. Additionally, this should make it easier to upgrade your graphics card — something video editors or gamers will do every couple of years — as you won’t need to open your main machine or send it somewhere to do so.