Waste of time = You have to buy the tickets each time and you will waste your time.
Regulations/inconvenience = You cannot take Nozomi trains. For example, there are 3 Nozomi per hour between Kyoto and Hiroshima stations but JR pass holders have to change trains at Shin-Osaka or Okayama if you want to go to Hiroshima from Kyoto(except there is one Hikari train in the early morning which runs between Kyoto and Hiroshima. This train departs from Shin-Yokahama and final stop is Hakata). There are only 2 Hikari per hour between Kyoto and Shin-Osaka and 1 Sakura per hour between Shin-Osaka and Hiroshima.
Also, you cannot go through the automatic gates. Gates with staffs are limited and sometimes you have to queue there.