These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Double Standard: According to fandom May is a whore, a bitch, a self centered Jerk Ass and should be shot to death... but Leon can get away with lots of shit and arrogant stunts and he's just misunderstoooooooood. Specially bad when you recall that Leon was the one who injured May and could have potentially killed her.
Draco in Leather Pants: Holy SHIT, Leon. While he does have somewhat understandable reasons to be the way he is, these do NOT justify how his fangirls hanwave or ommit the crap he has pulled on Sora, May and on many others like the innocent partners that he injured just to test their worth.
Family-Unfriendly Aesop: Some of the training techniques and behaviors seen in both the Kaleido Stage and the International Circus Festival are not exactly ethical.
Les Yay: There's a quite sizable chunk of subtext between several girls of the cast. Sora and Layla, Sora and Rosetta (which crosses the line to Romantic Two-Girl Friendship in the second season), Sora and May (more of Foe Yay for a time, though), May and Rosetta, Anna and Mia, Mia and Katie, Katie and Layla...
Arguably, Cathy with Layla and Mia. So much that Sora even gets a little jealous of her closeness to Layla at some point!
Misaimed Fandom: Some fans are so protective of Sora that they peg Kalos, Leon and especially May as evil. Often while whining about how Sora should be spoonfed and showered with love and praise - which is funny because, had Sora gotten approval and love easier, the fandom would've doubtlessly whined about her being a boring and perfect Mary Sue Classic.
Purity Sue: Sora Naegino is a deconstruction of this trope. She has traits that would make her the Ur Example... and yet they work against her. She has to balance her extreme idealism with her experiences in the circus world to keep believing in herself and the rest of the world and not go the Knight in Sour Armor route like it happened to Leon and Yuri.
Wangst: Sora's problems in the second season are very valid, but sometimes her angst does get extremely grating. Lampshaded by Fool, who tells her that if she doesn't come around, she'll lose her chance to be the Kaleido Star, and as such she'll stop seeing him. And it happens for a while.