State pension paid abroad — any delays or surprises?

Our state pensions have been paid into our British account since we retired, and we move the money across ourselves. It mostly works. But I've had two surprises this year that nobody warned us about, and I'd like to know if others have met the same thing.

First, a letter asking me to prove I'm still alive, which is apparently normal, arrived three weeks after the deadline because it went to our old address. Second, when I tried to have the pension paid directly into our Spanish account, the change took much longer than I expected, and one payment went missing for a while in between.

Have you had delays or surprises with a pension paid abroad? How do you handle the proof-of-life letters, and did switching to a local account work for you?