Copy Protection: Pirate copies of the cartridge obviously do not have the lock-on slot. This means a huge chunk of content will be unavailable, so even though the game is still fully playable, it's a lot less interesting.
Manual Misprint: A few of the enemies from Sonic & Knuckles showed up in Sonic the Hedgehog 3's instruction manual.
There tends to be confusion as to why the original Sonic the Hedgehog could not be locked in with Sonic & Knuckles. The two most popular explanations are Knuckles would have dramatically altered the color pallet or that Knuckles gliding on conveyor belts in Scrap Brain Zone would cause the game to crash. Both of which were solved by the famous rom hack Knuckles in Sonic the Hedgehog 1.