The biggest downside in my time there was work/life balance. Almost every position required some weekend work, and you were expected to average 50+ hours per week (in the general office most people worked much more than that)
The pay structure at the analyst level is a bit low in the first few years, especially the week to week pay. Everything is hourly (at a very low rate), but with everyone working 55+ hours, the overtime makes the paycheck large enough to live on. Profit sharing and another bonus incentive ramp up after a few years, but until then you really are under-compensated.
I admired the culture of hard work at Menards, but the overall talent level of the company is lacking. In my new position my group has mostly PhDs and MBAs, and the quality of analysis is light years ahead of Menards.
Some other nit-picky things I didn't like (but may have changed since I left) were the requirements that vacation had to be taken a week at a time (instead of just using a vacation day at a time), internet and outside email access strictly controlled (I had to use a kiosk in the hall to check competitors' websites - there were two computers that could access the internet to send emails), and a certain tension in the office from people scared to make a mistake that could get them fired (to get your performance incentive bonus you had to sign a contract stating that Menards can fire you at any time for any reason - a clause they used rather often)
