If we're talking strictly laser diodes there are a bunch of limiting factors.
Heat dissipation, limitations of the optics forming the cavity and limitations of the gain medium would all be the biggest ones I can think of. Of course these limitations affect lasers other than diode lasers too. Heat is certainly a big killer.
This PDF covers some of the limitations of laser diodes such as heat and catastrophic optical damage of mirrors forming the laser cavity. Although it's fairly in depth.
Yeah heat is a definite one, my most powerful is just a simple little 1W blue, and that thing has a tremendous heat build up I honestly couldn't even begin to imagine something like the NUBM44 let alone the Nubm08E. Certainly would love to have one in my hands though