Well, to be fair, the main parts are no more fiddly than any other plastic set. You just stick the arms and head onto a body - they all go together very easily.
What's a bit fiddly about this set is getting the tinier components (sheaves of arrows, scabbarded swords etc) neatly off the frame.
Truthfully, I'm pretty fastidious about these things. I guess many people wouldn't be that bothered about a slight imperfection in the line of a scabbard or whatever.
I wouldn't let it put you off the set, because they're lovely figures. You just need to take care with the little bits and pieces.