Well, I can't speak for the Soviet Union but historians of Nazi Germany are often faced with questions that are hard to answer because of the destruction of records at the end of WWII.

As an illustration take e.g. the Höfle Telegram. On January 11, 1943 Hermann Höfle of the staff of Operation Reinhard under Odilo Globocnik, send this telegram via radio to Eichmann of the Reich Security Main Office. It's content gives a run-down of the people killed in the camps attached to operation Reinhard until the end of the year 1942, 1.274.166 people killed all in all.

We only have the Höfle Telegram since 2001 because it was certainly destroyed in 1945 but luky for us intercepted by British intelligence during the war and it was Peter Witte and Stephen Tyas who found it in the British archives. Now, we knew approximately how many people had been killed in these camps because we had another documents, the Korherr Report, a statistical report on the Holocaust from March 1943, that gave the same number. However, the Höfle Telegram validated the Korherr Reports's details further and thus was an important piece of evidence, the same way, it told us how many people had been killed in which camp, which was something missing from the Korherr Report.

Now, the Höfle Telegram was one such example but there are still important chapters that are not fully researched because of the destruction of material in 1945. In the late 1980s, Raul Hilberg said that we knew only about 20% of what occurred in the Holocaust in the occupied Soviet Union. While this has gotten better, in large part to the opening of the Soviet Archives, there is still a couple of things, we do not know. Files from the Nazi civil administration in Ukraine regularly mention a network of so-called Arbeitserziehungslager (work education camps) for Ukrainian workers to be imprisoned and forced to do more work. We have almost no information on these camps, e.g. who ran them, when they were build, how long they existed, what the conditions there were etc. etc. While some historians have had success in clearing up some of the details, e.g. Alexander Prusin researching one of these camps in Kiev, we still can say very little about a network of about 700 camps all over the occupied Soviet Union.

Or cases such as Maly Trostinec: Maly Trostinec was a death camp near Minsk that operated between July 1942 and October 1943 and where virtually all Jews of Minsk were killed. It has only been recently that the pertinent details about Maly Trostinec have been discovered and we have learned that there were indeed death camps in the occupied Soviet Union (save Majdanek). Several historians think there might have been more camps like it but the pertinent documentation has most likely been destroyed in 1945 and save a lucky find in some local former Soviet archives, we might never know.

Another thing that has been lost due to destruction are the files of most Gestapo offices in the Reich and in the occupied territories. We have only two complete Gestapo archives, Düsseldorf and Würzburg, and while others still exist in fragments and yet others do not exist at all, this makes it extremely difficult to write about the persecution practices of the Gestapo during the war. E.g. the files from Düsseldorf, Würzburg and other fragmentary archives seem to suggest that about 80% of all Gestpo cases during the war dealt with forced laborers rather than German citizens. We can make the justified assumption that it was similar for other Gestapo offices but we will probably never find out (though there have been Gestapo files discovered recently in the ITS Archives, so who knows).

And finally, one of the big ones: A lot of files on the Nazi occupation of various countries has been destroyed in 1945. While for France or Poland, we have a rather good picture on the occupation, for countries like Serbia or Albania there is scant material on for example the Security Police and the SD making it difficult to get a comprehensive picture of the occupation.