PWO is still a BETA Game and so its still under-development, as with many BETA games, this means that some features are missing or don't work correctly/as you would expect them to work. In this page you can see most of the missing features as well as a short explanation of why it's missing or how it doesn't work correctly.
Currently, the only available types of Pokéballs are regular Pokéballs. Other variations of Pokéballs have yet to be implemented.
Daycare's or Breeding Pokemon
Currently there is no in-game way to leave your Pokémon in your a daycare or to breed them. There are however Daycares by other people in-game who will train your Pokémon for in-game money.
Currently, only the Regions Kanto and Johto are available to play. Other Regions will be added at a later time.
Currently there is no different Pokémon Natures in-game.
It wouldn't be very legendary if Legendary Pokémon were very abundant in the economy. For this reason, Legends are not obtainable in game for normal players, excluding extremely rare events. It is also speculated among players that only one of each Legendary species will be made obtainable to the entire player base.
Gen IV Pokémon
Currently there is no way to obtain Gen IV Pokémon, ocassionally though on the Holidays there will be locations where you might have a chance to get one. Such as in Dusk Town for the 2011 Halloween Event and in Festive Town for the 2011 Christmas Event.
Currently there are many moves in PWO which are broken (don't work as intended), this results in a incomplete battle system where some Pokemon are at a huge disadvantage.
Player Versus Environment System
Due to the underdeveloped mechanics of the PVE system, players are currently limited in how they can interact with the environment; moves are not usable outside of battle and NPCs are often used as a substitute for what trees could be cut in the handheld games (they allow you to proceed past the tree if you have the required badges, which equates to the amount of badges players typically had by the time they obtained the HM Flash in the handheld games). Aside from the Wind Surfboard for water travel, there are no other items to substitute for the functions of HMs in the handheld games (for example, dark interiors of caves have not been added as there is no item in game to illuminate the darkness).
Not all TMs are added as of yet. Refer Here for a list of available TMs.