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Well, HIV is only one example. We still don't have effective vaccines for SARS1, MERS, or Ebola. Hell, we don't even have a vaccine for the common cold, albeit that's a rhinovirus not a coronavirus so the challenge is rather different.
It is of course one of the great joys of modern life that we have vaccines against so many other viral diseases, not least smallpox. And then you get the anti-vax dullards who rail against one of the genuinely great human achievements. I'll stop now before I get too offensive.
Also making sure it works. You need a protein chain that will trigger an antibody reaction, and one which will be effective at killing off the viruses. If it was easy we'd have a vaccine for HIV by now.