The following limitations apply to query parameters:

Multiple namespaces are not supported.
GET requests on $ref and casting are not supported on users, groups, devices, service principals and applications.
@odata.bind is not supported. This means that you can't properly set the acceptedSenders or rejectedSenders navigation property on a group.
@odata.id is not present on non-containment navigations (like messages) when using minimal metadata.
$expand on relationships of directory objects:

Returns a maximum of 20 objects except for /users?$expand=registeredDevices which returns up to 100 objects.
No support for @odata.nextLink.
No support for more than one level of expand.
No support for nesting other query parameters such as $filter and $select inside an $expand query.

/attachments endpoint does not support filters. If present, the $filter parameter is ignored.
Cross-workload filtering is not supported.
When using the "in" operator, the request is limited to 15 expressions in the filter clause by default OR a URL length of 2,048 characters when using advanced query capabilities.
When filtering using the "eq" operator, the maximum limit of the value to match is 120 characters. That is, $filter=displayName eq 'value-to-match-max-120-char'. This limitation applies even for properties like displayName on directory objects that can be up to 256 characters. When using advanced queries, the limit is applied on the URL length at 2,048 characters instead of the matched value.

Not supported in Azure AD B2C tenants.
When using the $count=true query string when querying against directory resources, the @odata.count property will be present only on the first page of the paged data.

Query parameters specified in a request might fail silently. This can be true for unsupported query parameters as well as for unsupported combinations of query parameters.