The biggest challenge of playing loud is playing clean, with as little noise as possible (unless you're actually trying to create the noise). When practicing quietly many noises, scratches, small mistakes are less obvious than when cranked up. However, not many people have the option of practicing loud, but I do encourage you to treat yourself from time to time. :D
You might also get shy when playing loud. Many people I know sing great, but when given a microphone they start singing much quieter( :( ). I'd say it's a self-esteem issue, but it's nothing you can't snap out of. Let's see a mean face : :mad: !!!!