Yes, this is likely a problem. From the Cuffdiff documentation:
Cuffdiff takes a GTF file of transcripts as input, along with two or
more SAM files containing the fragment alignments for two or more
samples. It produces a number of output files that contain test
results for changes in expression at the level of transcripts, primary
transcripts, and genes. It also tracks changes in the relative
abundance of transcripts sharing a common transcription start site,
and in the relative abundances of the primary transcripts of each
gene. Tracking the former allows one to see changes in splicing, and
the latter lets one see changes in relative promoter use within a
gene. If you have more than one replicate for a sample, supply the SAM
files for the sample as a single comma-separated list. It is not
necessary to have the same number of replicates for each sample.
Cuffdiff requires that transcripts in the input GTF be annotated with
certain attributes in order to look for changes in primary transcript
expression, splicing, coding output, and promoter use. These
tss_id The ID of this transcript's inferred start site. Determines
which primary transcript this processed transcript is believed to come
p_id The ID of the coding sequence this transcript contains. This
is attribute is attached to Cuffcompare output by Cuffcompare only
when it is run with a reference annotation that include CDS records.
Further, differential CDS analysis is only performed when all isoforms
of a gene have p_id attributes, because neither Cufflinks nor
Cuffcompare attempt to assign an open reading frame to transcripts.
Does addressing this issue prompt Cuffdiff to output data to the
differential coding file?
Also, you might try using gene annotation files from UCSC rather than
Ensembl. Although Ensembl is mentioned in the documentation, the
problems that you and others have encountered suggest that Cufflinks
may have been developed using UCSC GTFs rather than Ensembl GTFs and
hence UCSC GTFs may work better.