Just because you haven't seen them doesn't mean that they don't exist.
More importantly, since you haven't seen them you are unprepared to deal with them when they do finally show up.
Because problems with Windows Service Packs are a reality for thousands and thousands of users.
The Dark Side of Windows XP Service Pack 2
A university had to put up a web site to deal with XP SP2 problems.
Scroll down to "Known Bugs and Issuess"
Installing Windows XP Service Pack 2 can make your PC LESS secure.
Windows XP SP3 breaks Pagemager.
Windows XP SP2 disables FTP server.
Windows XP SP3: Beware the service pack!
Vista Service Pack Poses Some Pesky Problems
It's not limited to just Windows service packs either...
Office XP Service Pack 3 problems bite users.
In fact, service pack problems are so widespread that Microsoft even built a tool to stop them from installing.
Which they now say they're going to disable, because they know better than the people actually running the machines.
XP SP3 broke my laptop’s ability to communicate with my wireless router. It was a known issue with many routers. I un-installed it and haven’t tried it again. I don’t have time to mess with it.