Well, there are a couple. Although don't let them stop you from trying.... its a very !!fun!! challenge.
1. Vampires will get a bad thought/general slowdown from lack of alcohol. apparently blood just doesn't have the same kick to it (even though dwarf blood should have pretty high alcohol content).
2. Vampires can have some negative effects from not drinking blood, and there are only a few possible sources (migrants and *unconfirmed* possibly animals/enemies that have fallen unconscious). Other posters might have more to say along these lines, as I haven't done much !!Science!! here.
3. Insane vampires WILL NOT DIE of starvation. You gotta build your fort for easy "accidents" if you don't want tons of immortal crazies running around and clogging the machinery with their claimed xXSocksXx.
4. Converting the fortress is hard, and will result in much random death and potential insanity. The only way I've seen of doing it is to make a well with some vampire blood as a contaminant in its source. You need to get rid of alcohol production to get dwarves to drink it, and dwarven drinking is so sporadic that you will likely find only portions of your fort converted, and feeding on the rest.
5. After feeding, dwarves will get a permanent slowdown in their movement speed due to the game checking their muscle growth's effect on their weight when their teeth grow. At least I know this happens in adventure mode. The muscles and toughness still make them good tanks.
Aside from that, they are excellent citizens. They get along will with the zombies, and make short work of many enemies. They won't drown, and won't rush to refill canteens in battle. they are good soldier and diligent (albeit slow due to lack of alcohol) workers. And they will never die of old age (if your computer is magic and runs the fort that long).
EDIT: ninja'd
EDIT2: Good point about the food industry. That could have some major long term ramifications... including reduced slowdown due to not stockpiling tons of +Koala roasts+.