- Getting prompted in the middle of content that "the Terms of Service have been updated"
- Getting prompted to accept the ToS
- Companies deciding to inject ads into your content
- Interoperability issues
- Being able to upgrade your (cheap) set-top box without upgrading your (expensive) TV
- Smart TV apps are typically worse than the best box apps (although this doesn't really apply to Roku-equipped TVs I guess)
- Bugs in the software degrading or disabling your viewing capabilities. Worst case with a box? Buy a new one ($100).
Seriously. Don't even connect your smart TV to the Internet. Leave the Wifi unconnected. Don't plug in an Ethernet cable. Leave that to whatever box or boxes you choose.