Lack of storage. For my use case at least, which involves a lot of VMs and large source trees. Please don't suggest external storage boxes.
Shit video card for taking gaming breaks ;) Or the monitor is too big for the video card, I'm not sure. Please don't suggest a separate gaming PC, considering how much Macs cost they'd better play games well.
1. It has a form factor that suits my needs for space and cooling
2. It has a 1080Ti which I can use for ML or Games (though primarily games)
Though I have to say - your use case is a bit extreme. If you need excellent cooling, lots of internal storage space and ultra smooth gameplay then maybe a mac is not what you need?
And Apple used to have a system that fit the bill pretty well - the pre trashcan Mac Pro. If the promised expandable Mac Pro comes out and they don't make it unusable for one dumb reason or another, I may abandon hackintoshes.
And to add another example, a friend of mine is working on a 5K iMac (non pro) on a normal-ish desktop application. He has to use external storage for testing, because the application has to manage large document libraries that don't fit on his internal SSD. Also, he's always mentioning that the iMac gets noisy when he's doing a build.
What's wrong with the higher-end iMacs? (My nitpicks are no dealbreakers: Glossy screen, height is not easily adjustable, I've heard of thermal issues.) The iMac always seemed like the only line of Apple computers where updates are both frequent and well-received.