I remember from back in the Scheme R5RS era there was a conflict between call/cc and dynamic-wind.
If you have a dynamic extent (like for example a try {} finally {} block that does resource allocation/deallocation), and you exit, but then jump back into the block, how far do you try to re-wind the state? You probably don't re-open files, but you would probably want to re-set any dynamic-scoped variables.
I don't remember seeing this raised as an issue recently, so it must have been solved somehow, and I'm just wondering how.