I just imported all posts from a WordPress.com export into my new self-hosted WordPress.org blog. Everything went fine and I got no errors, except for one nasty little problem that I noticed later while checking the imported posts: all backslashes were gone.
Since I'm posting quite a bit about Windows technicalities there were plenty of backslashes in my posts, indicating Windows directory hierarchies. They were all gone. For example, C:\Users\user would now appear as C:Usersuser. I checked that the backslashes did still exist in the original export file, so they were definitely dropped during import.
If it helps, all those backslashes appeared in code blocks. I'm currently fixing up all the affected posts manually. There don't seem to be any other differences between the original and imported posts. Since I'm already finished with importing I won't need a fix for this, but I bet others will. :)