1.) You will use a LOT of thread. Enormous amounts of thread. Be aware.
2.) You cannot slip the needle back underneath the stitches in the back to end the thread. So you will have to find another way to end it.
3.) It takes a while to get used to the lack of bendiness in the plywood. Unless you use really thin plywood. But still not particularly bendy.
4.) If the plywood has some type of edge or frame, then this makes stitching close to the edges especially tricky.
5.) Not being able to bind off the thread properly means the backside is a mess. You may want to cover it with something.
6.) The plywood may be a little snaggy on your thread, so using something which frays easily may be ill advised.