Broken microSD and locked bootloader
I just had to return my Z3 because the microSD card is read-only except for per-app cache directories. Those cache directories are extremely dangerous for storage because they're erased when an app's data is cleared or the app is removed. With this new phone, my 128GB card was rendered useless for the things that external memory is meant for.
This microSD problem is essentially broken KitKat feature from Google that various phone makers are supporting or rejecting. The Z3 had absolutely no way restoring microSD write access other than waiting for a Lollipop upgrade. The bootloader came permanently locked to prevent custom updates.
I figured a timely Lollipop upgrade wasn't happening with all the issues Sony is having.