That's an eye-opening list of risks that seems to justify your stance on investing in US assets if you don't live in the US. How about the other direction - investing overseas if you're an American living in the US?

Unless you invest in a fund that hedge FX risk, that's one risk you take on. If you invest through US-based funds, I think any foreign taxes are addressed by the fund. I've certainly never been asked to pay any non-US taxes.

Any other major gotchas?