I love the Palazzo. The location is great and guest service is always good. With that being said, I can see where the shortcomings are.
First, the rooms are very nice, but can get dusty very quickly. I understand this given the environment and weather but there should be better filtration and circulation to alleviate this issue. Also, getting items brought up to the room can take a lifetime!! We called for towels twice and waited over an hour the first time only to be told that the towels had been "dispatched". The room service rates are absurd but that's par for the course in Vegas. In addition, they like to tack on miscellaneous "extras" to your bill so be sure to check it and finalize it BEFORE you leave.
The positives are clearly the location and the shopping. The Palazzo is centrally located to just about everything and has a lot to do onsite. If you stay definitely get an upgraded room/suite. If your going to pay the money to stay there you may as well spend a few extra dollars and be able to really stretch out.