It's not a huge problem but it is one which lurks around the back of my mind and generally bothers me. It's that old bugbear of performance.
Take C++, while a large and complicated language it has had many man hours thrown at it to get compilers to the state they are at today. At the same time it offers, via compiler dependant extensions, ways of getting at important parts of the CPU; namely the SSE instructions of modern processors.
.Net, and thus by extension XNA, doesn't allow this directly (well, x64 generated code apprently uses SSE instructions instead of FPU but they are still singular in nature). Sure, in the PC world you could write some C++ code and then hook it into your .Net application to access these things but you've then got the overhead of getting to and from the unsafe code and of course doing this is impossible on the XB360.
Here we hit my main issue; the lack of VMX access on the XB360. The CPUs have ALOT of power in the VMX is used right and their single floating point units are compartively speaking very weak so not having access to the VMX is not really useful.
The other thing is the way the JIT works. On windows you can pre-JIT software, the process takes a while however it can result in better performance and better code; surprisingly afaik the XB360 has nothing like this. I say surprising because given the known nature of the XB360 you would have thought having a pre-JIT step would have been easier to do; it's not like the application is going to wake up one day and find itself in x64 mode instead of x86.
Don't get me wrong, I do love working with C# and the ability to run my code on the XB360 will be nice once I get something to run on it [smile] These things just.. bother me. Granted, a large part of the reason it bothers me is because at work I have access to a raw XB360, however even if I did write code for it I don't see it getting on XBLA any time soon.
I hope that in time we'll get some decent XNA libs which will allow access to the SSE/VMX instructions for vector and matrix maths functionality. Maybe I should suggest it to someone...