WebServices that are not based on the WCF, might implement Xml-schema that are not supported by the WCF. Dynamics Ax 2009 (AOT/References/Service References) is using the "svcutil.exe", which is part of the WCF, for generating the proxies that are communicating with the WebServices.
Dynamics Ax 4 was using the "asmx"-services from the .Net 2 framework, and was offering some functionalities which are not supported with the WCF (as the extensions), you have to create manually the proxies if your WebService requires these kind of elements.
The easiest way is to take the Wsdl-file and create with the wsdl.exe the necessary proxies which you can reference (AOT/References) and then consume the WebService by these custom-proxies.
A complete list of what is supported or not (ignored or forbidden) with the WCF can be found here.
Aif, WebServices, BC.Net, troubleshooting and architecture (formerly http://blogs.msdn.com/floditt)