what would you expect from a "theory of everything" if you were going to take it seriously?

A "theory of everything" (ToE) is considered incomplete by some because 

Gödel's incompleteness theorem suggests that any formal mathematical system powerful enough to describe arithmetic will contain statements that are true but cannot be proven within the system itself. This philosophical argument suggests that even a perfect ToE would have inherent limitations, unable to describe all aspects of reality. However, most physicists don't see this as a definitive barrier, focusing instead on the practical challenges of unifying quantum mechanics and gravity and understanding observable phenomena like dark matter. 

Other drawbacks.

The primary limits to a theory of everything (ToE) are 

the inherent difficulty of unifying gravity with quantum mechanics, the lack of experimentally verifiable predictions, and the possibility of fundamental limits to knowledge, potentially demonstrated by Gödel's incompleteness theorems. Attempts to develop a ToE encounter conceptual and mathematical road blocks, such as the breakdown of the theory at singularities like those in black holes, and the inability to find evidence for new physics like supersymmetry. Furthermore, some physicists argue that the very nature of theories of everything might limit their completeness, and others suggest a ToE may not even exist.