Well, not so much problems as a decision which had to be made.
Last night I compared figures from the different ranges, to see how they matched up for size. I found that the Peter Pig and Grumpy figures were a good match, as were the Blue Moon and Rebel Minis figures. However, the two pairings don't mix well size-wise - the Blue Moon and Rebel are noticeably larger than the Peter Pig and Grumpy.
For my army, I've decided to go with the Blue Moon and Rebel Minis. I can probably use the Cimaroons, Chinese and Malays from Grumpy as they don't look quite as out of place. The Peter Pig and Grumpy pirates will go into the pile for skirmish games at a later date.
The next job for me is to work out how many extra Blue Moon and Rebel packs I need to order. I should probably sit down and work out a suitable army list first!