It does happen, but it's pretty rare. Specifically, the MechWarrior 5 games don't work with my VKB joystick out of the box (had to do some config shenanigans to get that to work), Rome II Total War crashes pretty regularly, and the sound doesn't work right in HBS Battletech (which is odd cause I'm pretty sure that's a unity game). But the vast, vast majority of my library works without any tinkering.