Not that I can remember... (This message will be posted through an SG 115w, and this is far from the only Sophos device I've installed OpenWrt on...) One strange issue I found: systems installed from SquashFS images sometimes (meaning, on some units but not others) fill most of the available RAM with buffering, so after a while, I decided that I'll just use ext4 images by default.
Keep in mind there are small variations in the hardware depending on the revision. If memory serves, Revisions 1 and 2 have ath9k-compatible Wi-Fi cards, while Revision 3 has an ath10k-compatible card and thus requires hostapd and ath10k-firmware-qca988x in addition to kmod-ath10k. Also, Revisions 1 and 2 have SATA SSDs; Revision 3 has a small-form-factor SSD (I can't remember which exactly), which is removable, but has tamper-evident sealing (very tastefully done as a cute little blob of white plastic).
I actually wrote an extended guide on installing OpenWrt on Sophos SG 105w, which is very similar to the SG 115w (SG 115w has a slightly beefier processor and 4 GB of RAM rather than 2):
[HOWTO] Installing OpenWrt on Sophos SG105w
If you decide to use it, keep in mind that the concluding part titled Optional Niceties may be a bit outdated. So check out my most recent endeavor on the topic of resizing partitions:
[HOWTO] Resizing root partition on x86 (March 2023 edition)
Sorry about the shameless self-promotion, but I just can't help being happy when something I did months ago can help someone here and now... 