Bridged interfaces behave somewhat differently than non-bridged interfaces, and for that reason, you may find there are some things that cannot be done with bridges. In other cases, you may have to make modifications in order to get a pfSense feature to work with bridging.
Captive portal requires an IP on each interface on which it is active; this IP address is used to serve the portal contents. But bridged interfaces do not have an IP address. Therefore, captive portal does not work with bridging.
Another situation where bridged interfaces can be problematic is with multi-WAN setups. This is because the nodes on the bridged interfaces often have a different gateway than pfSense, and the router that is the default gateway for ...