There are two: You can't place parchment paper on a grill or under the broiler. However, you can remedy this by using aluminum foil instead of paper for the grill. You can't make en papillote in parchment paper too far ahead of time because the moisture will soak into the paper. You can remedy that by having all the ingredients prepped and ready to go, then assemble the parchment paper packages when you're ready to bake.