Is there anything I need to worry about for collecting & paying international royalties?

If you are going to set up a book for a client in your own KDP account and will be paying them royalties for what they sell, make sure you charge some sort of premium on it. You have the additional book keeping, potential tax liability, and the extra task to complete each month.

I currently have one client that I pay royalties to on a monthly basis, and I wish that I'd set it up so that I only had to pay him once per quarter.

Make sure you keep good records for how much money you are collecting and paying out, and remember that while CreateSpace pays out on a net 30 at the end of the month, KDP pays out net 60 at the end of the month, so you are looking at potentially 90 days between the sale of a book and getting paid for it.

I'm not familiar with any sort of issues between the different countries but I haven't had international clients yet so I don't know if there are any specific gotchas that you need to watch out for. It's probably worth talking to your attorney or accountant and getting things set up ahead of time properly. For example, Amazon holds 30 or 35% of the royalties for taxes unless they have the tax documentation from international sellers, so if they are going to be selling a lot of copies of their books you'll need to make sure that you are not getting stuck with their tax bill.