Lack Of Support And Image Artifacts
Because multi-GPU setups represent a minority of gaming systems, you can't really blame developers for not testing games extensively with SLI or, occasionally, choosing to not support SLI at all. It took over six months after launch for The Creative Assembly to support SLI in Total War: Rome II, after all. And several Assassin's Creed games had issues with shadows not displaying properly in SLI; these were eventually fixed.
For mysterious reasons, enabling SMAA with HBAO+ in Far Cry 4 on an SLI system results in annoying ghosting effects staying on-screen and dark shadows at night. The only workaround right now is switching to a different shadow and AA setting (like TXAA) in the game's video options.
We've also heard of issues in Dragon Age: Inquisition. Reportedly, there are shimmering textures and "white fog" that is too dense to see through on certain SLI configurations.
Although some issues exist, the good news is that most AAA games eventually get patched. Just don't be surprised if there are issues on launch day if you use a multi-GPU configuration from either Nvidia or AMD.