True, but 1) there are open-source code-walkers that do a pretty good job, 2) many implementations expose their internal code walker in one way or another and 3) you can do somewhere between 90 and 99% of what you'd want to do with a code walker using MACROLET.
My pet peeve is that ((...) ...) is a syntax error, so you can't implement Scheme in Common Lisp without violating the standard. But see http://www.flownet.com/ron/lisp/combination-hook.lisp for an example of how easy it is to hack at least one implementation to support this.
The lack of mandatory tail calls and call/cc also make implementing Scheme in CL hard, although the former is actually present in most mainstream implementations. Various flavors of continuations can be implemented with macros, but they require coding changes and are not as general as Scheme continuations.
My pet peeve is that ((...) ...) is a syntax error, so you can't implement Scheme in Common Lisp without violating the standard. But see http://www.flownet.com/ron/lisp/combination-hook.lisp for an example of how easy it is to hack at least one implementation to support this.