Yes, every time I try a new render engine I run into things that make me say what? You have to be kidding me! Often it makes MR look not so bad
It's not that they're not good render engines, it's just that they're not as mature and are often missing VERY key features that I use. They may have faster bug fixes but they still have huge gaping holes in their feature set.
For example, has anyone tried rendering volume particles in V-ray, 3Delight etc.? Good luck with that. Just an example.
Also, the render delay from when you hit go that MR had at the beginning of 2012 made big news and people were furious. Including me. But have you checked the rendering delay on some others? Far more in most cases. Just another example.
In a way, having MR gives me the freedom to test other systems because I know that if it doesn't work out, I can always just go back to MR and I know I can do it. It would be pretty risky otherwise.
Ironically, I think if MR wasn't included (and never was) people would want it more.