1) Alarms will no longer have sound when you have your phone on silent or vibrate
2) If your phone is on silent (not vibrate), your LED notification lights will not activate
Let us know if you notice any others.
On a side note, the reason that the Galaxy Note 3 got the update before the Galaxy Note 4 is that there were compatibility issues with the Gear VR and the Note 4 after the update. Once they have that resolved, you should see an update come to your phone.
Do you think they should have waited to have the issue resolved or just push the update to the Galaxy Note 4 and send a patch later?