They lack context.
They make things seem more complicated than they are.
They're often skipped.
Folks think the screenshots are the app and try to interact with them (seriously!)
So basically, they're not a dependable way to teach stuff. On the other hand, they can definitely be helpful for quickly laying out an app's value proposition and, in some cases, can provide an important layer of instruction.
Apps like Clear purposely sacrifice discoverability for minimalism and fun. In some cases, progressive disclosure and visual cues might change the nature of the app and a walkthrough may be helpful. But Phill Ryu himself admitted that the walkthrough was a band-aid and I think we would all do well to think about how we can do better in the future.
The point is, I think there is a ton of room for innovation in the space of teaching UIs but we should keep all the chips on the table. Experiment, do user testing, but don't categorically exclude options from the table.