Yes it can be very irritating. It's enough of a problem that it's really rare that I will bother installing anything that is not packaged by my distribution (or from repositories made specifically for my distribution) because of the difficulties.
I spent many unfortunate evenings struggling with doing things like trying to use python bindings for Orge3D or something like that. Many hours trying to figure out the magic combination of compile options and dependencies. Many dependencies needed to be compiled and copied to the system. What made it terrible was that I was just trying to learn this stuff.. I had no idea what to expect when it worked so I had no idea if what I was doing was correct. When a test failed, was it because I did something wrong or was it just because it is using something that isn't supported yet?
Meanwhile if I was using Windows XP I could of had everything installed and running correctly with about 15 minutes of effort.
It was maddening that open source software developed by people who believed in open source software most of whom used and programed in Linux... was pretty much unusable in Linux, but trivial to use in closed source operating systems.
I saw this again and again and again. Mostly with games or game libraries and such, but it is very common problem with all software on Linux.
It's a bit amazing to me that people in the community can easily see the wisdom of having a strong Linux API/ABI for userspace and can see the wisdom of having POSIX and adhering to standards and whatnot... but totally balk at the idea that Linux desktop should need anything higher level then that. That all problems can be solved by distribution using brute force labor to conform software to their very specific implementation decisions.