The "perfect" three terminal, 0.5A, voltage regulator
Price. These parts typically sell for $1 or more. 7805's can be well under $1. Your CUI part is about $4 at US distributors. A name-brand LM7805 is about $0.25 (100 pieces).
Output ripple. Your part specifies 30 mV peak-to-peak output ripple. This might not affect some applications. But where it does it means adding additional filtering, which adds cost and degrades the load regulation spec.


Of course these are just considerations that should be taken into account and balanced against the higher efficiency of the switching design.