Some major problems I've had with Visual Studio 10 Express:
- limited target name length (260+ is not unheard of for generated targets);
- it's not Vim (yeah, personal choice, but Vim integration stuff was broken with 10);
- have to close VS every time I change a CMake file and reconfigure the vcxproj;
- horrendous error output (first thing I do on VS is turn on the Error/Warning window, then line numbers);
- refusal to debug Release applications (not even a backtrace!); and
- can't save command line arguments for "Run target" (or whatever the F5 action is) for later use (I have two files I want to test with, it only remembers one set of arguments).
Honestly, cmake --build is easier lots of the time. This list is by no means exhaustive, just what comes to mind.