I am a self taught dev. Been at it for almost a decade now. By far the biggest challenge you will face is imposter syndrome. You are entering a field full of incredibly smart people who are crazy opinionated and at times competitive. Your lack of formal background will mean that you wont know when someone is wrong or simply dealing in a concept with which you have no experience. You will probably cling to your first real job for way longer than you should because you will consider yourself lucky to have been hired at all. And to that last point, you will probably not make as much money as other developers with equal skill sets for the first bit of your career. You will feel like you are a fraud about to be exposed at any moment.
Your question is about the downsides of being self taught but I just want to say that you have many many advantages as well. For one, you will be an outside the box thinker and more open to learning new things. A lot of guys that come from formal backgrounds get stuck in a rut and never advance beyond that. You, always thinking that you need to catch up, will likely be hitting the books constantly and without even realizing it, surpass your peers. Try never to lose that. Its a blessing and a curse but ultimately more of the former. Good luck!