Hi Trevor,
IIRC, yes, and lots. It means you no longer have a __dict__ to work with, which affects @cached_method, pickling, dynamically adding attributes, etc. Not only could using __slots__ in Python classes have far reaching effects within the Sage library, it can affect user's code in the wild. Granted, the latter issue is unlikely to effect the more casual users (and I think happens when we Cythonize something). Subsequently it should be restricted to the places for classes used in tight loops, but then you probably should just fully Cythonize things.
Best,
Travis