I make my living designing switching power supplies, but I'm still on the fence regarding audio applications. Hi-Fi apps, to be more specific - PA systems and instrument amplifiers are something else.
Typical problems that I encounter are complexity, cost and noise (conducted and radiated), and efficiency improvements are negligible in low power applications. Heat management too, but that is less of a problem in audio due to low average power.
Another possible issue, related to audio, is that regulation loop operates within audio bandwidth (0.5-2kHz typically for off-line power supplies). It can be made slower, but then output capacitors alone handle peak load and situation is identical to line frequency rectification (no savings in capacitors, moreover, they need to be able to handle 120Hz AND high frequency ripple). Unfortunately the feedback loop cannot be made much faster - well above 20kHz would be nice....
Oh, by the way - I know the guys who design power supplies at Pico. Nice people. Many Newcastle Brown Ale went down in their fine little town.