I recently came across a confusing situation where a user could not log in to dashboard.wikiedu.org via OAuth on en.wikipedia.org: https://meta.wikimedia.org/wiki/Special:CentralAuth/Kelmcc
The problem was that the user did not yet have a local account on en.wikipedia.org, and they got an error message saying the account did not exist when they tried to log in... but when they tried to create their account on en.wikipedia.org, they could not do so because the username was already taken (by them, for their CentralAuth account). There was no way for them to discover the details of the problem or the solution (which was to log in on Meta, then visit en.wikipedia.org, then try the OAuth login again).
(I'm not sure which projects to tag this with, so I'll do a couple.)
Ideal situation: a user with a CentralAuth account should be able to log in on any Wikimedia wiki.
Better-than-now situation: error messages for a user who logs in with an account that exists in CentralAuth but not locally should guide the user to the correct workaround (of logging in first on a wiki where their account does exist, and then returning to the wiki they want to use).