One of the biggest headaches for me is debugging. As the author says, the facilities for reading state back out are often questionable. Even where they're not, I'd rather not spend all my time rolling my own custom OpenGL debugging tools. I'd love a cross-platform OpenGL debugger--even if it only handled basic stuff.
For example, when nothing renders, I don't want to waste an hour, staring at my code with no direction, until I realize I forgot a call to glEnableVertexAttribArray. Instead, I'd like to boot up my trusty debugger and go through a sane process of narrowing down the problem, like I do for just about every other class of bug.
Also a sane way to debug shaders would be fantastic. The usual advice is to write debug info out as color values. The fact that anyone considers that a healthy debugging strategy just illustrates how far behind graphics programming is in terms of developer friendliness.
I don't know if it's better on other APIs. OpenGL is the only one I use, because I never have occasion to develop Windows-only apps.