Can be a potent skin sensitizer. Sulfur also has a high pH, which can encourage the growth of bacteria on skin.
Sulfur has more negatives than positives for skin, and its use to treat skin concerns should be seen as a last resort if other ingredients (such as benzoyl peroxide, azelaic acid, and salicylic acid) don't work as well as you had hoped.
Reference for this information:
Journal of Clinical and Aesthetic Dermatology, May 2012, pages 32-40