But it's going to be a very generalized kind of shade, I swear! Because, as I said, in my heart, I truly like these games.
That said... [OK, here it comes.]
I feel there is a baseline, conceptual pitfall with Mythos RPGs: to have an ideal play experience, everyone involved should be fairly well-versed in Mythos lore, or at least familiar with lots of the Lovecraftian horror tropes. Not having these conditions present can possibly set a limit on player enjoyment under best conditions, and can potentially frustrate players and derail fun under worst conditions.
Of course, neither of these outcomes is guaranteed -- but I've increasingly felt that there's a big risk of hitting one of the two abovementioned walls if your players are new to this particular niche genre. Overall, it makes onboarding new players much more difficult, I've found, than in most other RPGs. I suspect there are two main reasons for this.
1) The ideal player of a Mythos RPG should want to experience the weird mystery during play, rather than necessarily solve the weird mystery during play.
I've found that it's uncommon for the entire mystery/plot behind any scenario to be discernable without assembling all the clues (and even then, not always). Add to this the high mortality rate of most Mythos games, and you have a situation where some players are going to be introduced to a weird mystery, start looking into it, encounter SAN-rending strangeness, and then shake off the mortal coil in short order without getting to the root of things or grasping it in full. This can be a harder pill to swallow for players who want even a passing grasp on the plot they find themselves in. Most have some tolerance for uncertainty as a campaign plot unfolds and they work to make sense of seemingly disparate plot threads until they coalesce closer to the end. (This happened recently when my gaming group was playing through the 5e Waterdeep: Dragon Heist campaign; there was a lot of uncertainty about who/what were related to the main mystery of the missing gold, but it was kind of expected as we worked to piece things together.)
I've found that Mythos scenarios can be dicey in this respect -- especially if your players are the sort who will want to reach some threshold in-game where everything suddenly clicks into mental place. The vast majority of Mythos live-plays that I've listened to (and I've listened to a lot) end with a post-game discussion that's kicked off with the GM saying "So you wanna know what was really going on??" I ran a long Call of Cthulhu campaign made up of several shorter scenarios, and, after each one, I'd find myself starting things off with some version of that quote. It can be a bit anticlimactic to regularly face a group of confused players and rehash the plot of the session so that everyone can understand the past few hours. Yes, Mythos games are fundamentally mysteries and investigations -- but they are often especially unfathomable mysteries. Which connects us to my second point...
2) An unacknowledged (yet commonplace) appeal of Mythos gaming derives directly from the separation of player knowledge/perspective and character knowledge/perspective.
Most RPGs don't require an extensive, pre-existing knowledge of source material to have fun in play. And, on the surface, it's arguable that Mythos games don't either. But, let's be honest, many of the players drawn to Mythos games are here because they have a love of weird fiction and cosmic horror, and they know a lot about the source material. In and of itself, there is nothing wrong with this -- it's certainly why I love them. But for players without that body of knowledge, I feel that Mythos games set a higher-than-usual bar to clear. Coming to the table with little-to-no background in the Cthulhu Mythos (most of my group's players knew very little of it during our campaign) raises the chances that those players will experience more confusion than one who has more working knowledge of the entities involved. Again, thinking about live-plays I've heard on podcasts, I can't count the number of times a GM has dropped some small detail or clue about an entity, only to hear a player start laughing and sound off knowingly with a "ohhhhhh shit -- well, I am fucked!" It's this separation, this disconnect, that I'm talking about. The character is struggling to make sense of what's going on -- but the player often knows full well that he's at risk of getting exsanguinated by a star vampire in the next few seconds. And there's usually some fraught delight that's apparent in their reaction. This is what leads me to argue that, for some, having an awareness of exactly what's behind the scenario helps with making a diagnosis, and makes digesting these scenario plots a lot more manageable.
Again, there's nothing wrong with games that come with a lot of pre-existing lore to grasp before you can start (I'm looking at you Eclipse Phase). But games like CoC are seldom discussed as having a lot of metaplot to them. And, arguably, they don't. Yet my experience of running Mythos games and listening to a lot of live-plays tells me that, for players to derive a decent amount of fun from these games, they often need to rely on more of an awareness of the Mythos than we might admit to.
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