Yes, quite a number of games that work on my Mac 512k (with 64k ROMs) will not work on the SE/30 under any OS. But some games that will work on the SE/30 under System 6 will not work under System 7. The older the game, the less likely it will work on the SE/30. I cannot remember off the top of my head, but it's either Harrier Strike Mission or Falcon that has problems. Both of those were my favorite games in years past.
Also keep in mind that some very old games technically "function" on the SE/30, but they are just too fast. That holds true even for games that have a "Slow Down" feature in the menus. And if you've got an accelerator in the SE/30 like I do (a 50MHz DiiMO), then there is no hope to slow some games down to an acceptable speed (save removing the accelerator, which I am not about to do).
This is why, if space allows, it's nice to have more than one classic Mac. You can have a Mac 512k or Plus along side an SE/30. My preference is a 512k with 64k ROMs and the SE/30. Since the games that are too new for the 512k and its stock ROMs often work fine on the SE/30. And some of the earliest games were made to work with the 64k ROMs, and they have a little trouble with the 128k ROMs of the 512ke or Plus. Again, sorry, I cannot remember the names off the top of my head, but it is true.