Is there a geometry type (both 2D and 3D) that is supported by DWG and cannot (lossless-ly) be expressed using Well-Known Text? If there is, please provide an example.
It likely depends on the software you intend to use. If you use AutoCad Map 3D, then:
This article explains about Polygons and Multipolygons. It identifies that you cannot create non-planar polygons.
This article explains about Lines and Multilines. It identifies some concern for arcs.
This article doesn't list any issues with Points or Multipoints.