From the path integral point of view, one can argue why the KW theory partition function won't be well defined as follows.
At the B-model point the KW theory dimensionally reduces to the B model for the derived stack LocG(Σ′) of G-local systems on Σ′. The B-model for any target X is expected to be given by the volume of a natural volume form on the derived mapping space from the de Rham stack of the source curve Σ to X.
Putting this together, we see that the KW partition function on a complex surface S is supposed to be the "volume" of the derived stack LocG(S) (with respect to a volume form which comes from integrating out the massive modes).
Now we see the problem: the derived stack LocG(S) has tangent complex at a a G-local system P given by de Rham cohomology of S with coefficients in the adjoint local system of Lie algebras, with a shift of one. This is in cohomological degrees −1,0,1,2,3.
In other words: fields of the theory include things like H3(S,gP) in cohomological degree 2. Because it's in cohomological degree 2, we can think of it as being an even field -- and then it's some non-compact direction, so that we wouldn't expect any kind of integral to converge.
(By the way, I discuss this interpretation of the KW theory in my paper http://www.math.northwestern.edu/~costello/sullivan.pdf)
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