Yeah, as is demonstrated in Cold Days, popping in from the Nevernever doesn't get rid of any Threshold, and thus limits one's powers significantly in one way or another. Of course, a Wizard could always just pop in with a perfectly mundane weapon like a gun and go to town.
Also, as mentioned, it avoids many (though probably not all, depending on the Wizard) wards.
EDIT: As for Changelings, they'd either lose powers like anyone else, or, like the full Fae, be bound by the traditions of hospitality (which would be a lot worse, from the perspective of doing things effectively).