Mainly just that Microsoft has abandoned *.chm and won't be doing any more development on it. Meanwhile, Microsoft has two new help systems that are superior to the older systems (HTML Help 2 that's used in Visual Studio and Office and the MAML-based help that's used in Vista), but they haven't released any tools for generating help files in the new formats.
HTML Help 2 doesn't offer much beyond what you can do with *.chm, but Vista's MAML help would be a very useful tool for third parties. It provides a more context-based, structural language for content (similar to DocBook) and can be translated into a number of formats, like HTML, RTF, or XAML.