You can't run (as far as I'm aware) things like query analyzers like I can with SQL to get execution plans.
It can be an absolute nightmare to debug. Like proper hell that where you can lose a day or so over something that ends up being stupidly simple.
I hate it and would choose just doing SQL with a plain ORM anyday over ever touching EF again.
When I was using it it also had poor support for immutable types. I imagine this has got better.