One is that this is based on other people's work, as the GP mentioned. Updates to those works will affect this one; the hope is that those 73 underlying datasets aren't systematically biased and any errors will cancel out. Another is that those error bars are probably 95% confidence. So we fully expect that about 550 out of the 11,000 years in this chart will fall outside of that range. A final bit is that we're only reconstructing averages here; it's a lot easier to guess the average number of shoes owned by 1000 people than the exact number of shoes owned by 1.
These extra caveats don't invalidate the data or render it useless, they just qualify it. You shouldn't look at the graph and think, "Here is the exact temperature for the last 11,000 years", you should think, "Given our current best understanding of the available data, the average global temperature for 10,450 out of the last 11,000 years probably fell into this 0.4 degree C range."
They're not supposed to. These are supposed to be caught by peer review. If you believe Nature, then you should believe Science, too (I am talking about journals here :-)).
BTW, they explicitly discuss the possibility of "missing" temperature peaks in the RC blogpost.
(I don't know the answer, but I heard the number is quite high.)
The legend claims one-sigma (68% confidence assuming normality)