I Googled on MS Project Agile and found several articles you might be interested in. One of the said the following regarding difficulties using MS Project:
1. Adding new tasks in between as they get discovered during the sprint causes havoc while using the tool
2. Tracking story and task completion in the context of sprint is difficult
3. Moving around the incomplete stories and tasks to different Iteration makes the project plan chaotic
4. Picturing Product and Sprint Backlogs while using MSProject is not so easy
I would try to Google this topic and see what pops up. Getting the information within the Agile community might be the best solution. Good luck to you.