Say you want to add a product to an existing order in the database...
$orderProduct = new OrderProduct();
$order = OrderPeer::retrieveByPK(1);
$order->addOrderProduct($orderProduct);
Now, if ANYWHERE after this point in the code, something calls $order->getOrderProducts() before you call $order->save() (like a validation routine or something) you will lose that new OrderProduct and it will not be persisted.
It's bit me more than once, especially as you start to spread code around that depends on traversing the relationships - can be a very tricky bug to spot.
Propel's implementation of related collections definitely could use some improvement. In your example, you wouldn't necessarily lose your new object, it just wouldn't be persisted through a call to the parent order to save. My general habit is to call save on a newly created object directly, and as soon as possible. Regardless, I definitely agree this is one (and there are some other points) where Propel definitely has rough edges.