A large proportion of road bike have integrated headsets. I've been using them for years on a variety of bikes and have never had any problems. So I wouldn't let that put you off.
In addition to the bits mentioned by timb34, you may also need a new stem as the top tube length will be different to your current bike.
I'm half way through building up a SAB Classico. I got a bit delayed as the bottom bracket is quoted on the PX site as being BSA. But it's actually italian threaded. Hopefully my LBS will give me a refund on the BSA bottom bracket that I shelled (excuse the pun) out for.
The frame comes with a rear mech hanger. The mech hanger is custom to the frame and so may be of concern, as you probably won't get another one if you break or bend it. But then you're much less likely to break a mech hanger on a road bike then on a mountain bike.
The frame does not come with a BB gear cable guide or barrel adjusters; which may not be a problem as you can transfer these across from your current bike. But these bits only cost a few quid anyway.
And finally, you may need to take the frame to your LBS to get the BB shell chased and faced, and also to fit the BB cups (assuming you don't have BB wrench). Having said that, I didn't need to have mine chased and faced. The BB cups fitted perfectly (one I'd got the right size).
If you've never built up a bike before, it may be a bit daunting. But it's very satisfying and well worth it. However, you may turn into a weight weenie, and be forever upgrading bits to make the bike lighter, stiffer, and more responsive. It's a slippery slope!