There are some cards that are testy with converters, a few Arcade Card games get the same way; those temperamental ones only seem to like the Kisado, and the Kisado is no longer made and hard to come by at a reasonable price today. Just picking up a PC Engine is a simple solution to the Kisado quandary. Plus as Lawrence said, the Japanese hardware is much more esoteric, nicer looking, and there are several models. I've read some here about reliability issues as well--I'd never experienced audio problems with my TurboDuo, but it seems the original Duo model has a fading audio effect for many people, which later models like the Duo R and Duo RX did not suffer.
Then there's also that SuperGrafx, games of which will never play on your US Turbo.