It's the stick positioning. Ergonomically the controller is sound, and as you said, the D-Pad is cool, though the touchpad is a bit too big and wasn't recognising my movements enough. But the sticks...they're too low and they're too far away from the sides. My thumbs were getting strained using them.
I did like how the pointless light (for most games) changed colour to show your health on Killzone, though. That's a nice, but ultimately pointless as you can't see it, touch.