I can say for sure as a decent Marth player that against Lucina, Lucina is at the disadvantage. Marths tippers keep her at bay, and other than that its almost a mirror match- which is hard to go up against as Lucina (though not so much Marth, for some reason)
I've put a small amount of time in for Lucina, but Marth is still my boy.
Otherwise, they run into a lot of the same problems.
Rosilina is difficult, she can be very hard to adapt to playing against. Expect your first couple matches against her to go very poorly.
Dedeedee, DK, Bowser, and Charizard- Lucina and Marth both have problems with these heavy characters because of the fact that they can make some INSANE mid game turnarounds. They can be at like 230%, with Luci/Marth at mabye 80%, and get a quick stock off of them. The worst of these offenders is definitely Bowser. DK is the least offensive of these brutes. Triple D is like 2nd to Bowser, and Charizard is 3rd place. Charizard is pretty easy to read, but he can also get Luci/Marth into some stick situations, and if you miff a counter/dodge against Flare Blitz at/above 80%, you're toast for the most part, because even if you make it back, at that point even an uncharged smash will take you out. Triple D has his Gordos and insane recovery buttstomp. Other than that, his inhale can be annoying to work around, and a well placed hammer shot is toxic to Marth/Luci. The match in the end will go to the better player. I've won multiple matches against this lot, but at the same time I've also lost just as many. In one instance, I fought a Bowser 6 times before giving up, and every single time he wrecked me.
Outside of those guys, Mac can be initially very tough. But, his air game is laughable, and Luci/Marths air game isnt. Get Mac in the air after countering/dodging his hits, and you pretty well have the match in the bag. A good stage to practice on in training mode is Omega Brinstar. The lava is pretty much the cutoff point for Luci/Marths dolphin blade recovery. From there, you can find the sweetspot for every character to know when they're down for the count. Macs is pretty much at that line barring few special instances. Safest way to fight Mac as Luci/Marth is to stick to the edge and bait him either to you or off the stage. Its not hard to pull off.
I wouldnt say Yoshi shuts Luci/Marth down. He's just kind of really annoying. He can be hard to get used to fighting. He's pretty different from most everyone else on the roster. A lot of what works for other characters doesnt work for him. I dont really have any tips, as I'm ~1:6 (not saying I've only won 1, but thats about how my track record is) with Yoshi matches atm, but I have shut him down before. Its not impossible, its just mildly difficult depending on the player behind the Yosh.
Mega Man in every instance I've ever fought him is a joke vs Luci/Marth. Now, maybe in this one instance her differences shine enough to warrant her getting ate by Mega Man, but as Marth, MM is the most predictable character in the game other than villager, all of his moves have some sort of start up lag/tell to them and can be easily avoided as such. Otherwise, his options kind of suck, as his melee potential is low Vs. Marths, his melee speed is low vs. Marths, and his projectile game sort of sucks. [Okay, really sucks] to the point where you dont have to dodge the full charge shot. You can just jump behind Mega while he's doing it and Shield Breaker to rack up some good damage. Honestly, I think he'd be easier to fight as Lucina because you can close the gaps between yourself and MM better due to the differnce in her blade. Marth can be subject to some small combos by MM before breaking out of them just based on the distance between the swordsman and the Blue Bomber.
Gannondorf, despite being slow, is a serious threat to Luci/Marth. With his Side B, he does some decent damage and then throws the opponent to the ground, where a dtilt can be used to maximize on damage. This followed by some well placed grabs and down B's led to my Marth being shut down twice.
Other than that, I cant think of any characters who really shut Luci/Marth down easily.