The most complicated thing for digital nomads is that each country they work in will have different rules for residency, visas, and limits for taxation. Finding somewhere to live short-term, and getting visas may be simple enough but the real challenge is understanding which country thinks you should pay tax to. And if you have to pay taxes, when and based on what: this can be really complex sometimes. In most countries, you need to spend a minimum number of days there before their tax rules apply. Some jurisdictions also consider factors like the type of work you're doing, your clients, and other circumstances. Ideally, you should understand the tax landscape of each location before spending a significant amount of time there. I think this is something not a lot of people think of when we're talking about digital nomads, because it can be a fun and entertaining way to live - just to travel and do 'workations'... But you still have to follow the rules.
Navigating bureaucracy is the biggest challenge. While the EU itself is borderless and it's relatively easy to stay long-term, it's hard to figure out the tax obligations, social security payments, etc. Each country has its own set of laws, and knowing how to stay within lawful boundaries can be challenging.