Actually they aren't a bitch to set up. The difficulties usually begin
when automatic client software is being used with dead remailers,
stale remailer keys, remailer chains that are broken, or other factors
that could be determined in advance by the user if he took the time to
verify that these things were not going to be problems before trying
to start setting up a nym. That is to say:

+ If you use stale remailer keys, the remailers will not be able to
process your message.

+ If you use dead remailers, either when sending to nym, or in your
reply block chain, then your nym will not be setup at all, or even
worse, it will appear in the list as created but not work and not
return any clues as to why not.

+ If you test your reply block before trying to use it with a nym, and
it does not work for you, there is no way it will work for the
nymserver either. But since you didn't bother to create it by hand and
test it yourself you have no way of knowing whether it works or not.
Now you can see you have a list of possible problems that may be
working alone or in combination against you. But since you didn't
verify each one to be non-problematic in and of itself, you have no
way to know why your nym isn't established or not working. This is the
"bitch" and it is of your own creating.

Of course, automatic nym creation software knows nothing about the
current state of the remailer network, which remailers have changed
keys recently, which remailers have problems chaining to other
remailers, etc. So by using it without independently verifying what it
is doing for you, you place yourself at its mercy. Don't blame the
software since it rarely if ever makes technical errors when creating
nyms.