The problem with GR+QM is that the counterterms include higher derivatives terms,
$$
\mathcal L_\mathrm{ctr}\sim \partial^4h
$$
where $g_{\mu\nu}=\eta_{\mu\nu}+h_{\mu\nu}$.
Therefore, on accounts of the Ostrogradsky instability theorem, the system is unstable. This means that the whole program of perturbation theory makes little sense, and there is no reason for us to expect that the perturbative expansion has anything to do with what the theory is really telling us.
Therefore, QGR's perturbative expansion need not reflect what the non-perturbative theory is about. We just don't know what to do with the theory, we only know that perturbation theory cannot work.
For more information on Ostrogradsky's theorem and its relation to a possible theory of quantum gravity, see the very accessible review Avoiding Dark Energy with 1/R Modifications of Gravity, by R. P. Woodard.
To close this answer I would like to include a transcript from Strominger's essay Is there a Quantum Theory of Gravity:
The problem of unifying quantum field theory and general relativity was formally solved in 1967 by DeWitt in a series of classical papers [...]. Using standard principles of quantum mechanics, he constructed a unitary set of Feynman rules describing the quantum dynamics of the gravitational field. Unfortunately, the perturbation series in Newton's constant is not renormalizable. This is evident from power counting: the naive degree of divergence of an $L$ loop diagram is $2(L+1)$. Barring miracles, we therefore expect on dimensional grounds that a counterterm constructed from $L$ powers of the Riemann tensor will be necessary to renormalize the $(L+1)$th order of perturbation theory. Since a new coupling constant is introduced at each order, the theory loses its predictive power. This difficulty arises from the fact that the coupling constant has dimensions of inverse mass.
A first response to this problem was to conjecture that the full theory is in fact finite [...]. After all, the perturbation expansion is really an expansion in the dimensionless parameter $\kappa^2E$ ($E$ is an energy scale, $\kappa^2=32\pi G$). This expansion parameter is large at large energies. One cannot expect such an expansion to provide a systematic method for computing the effects of virtual gravitons of arbitrarily large energies. The non-renormalizability of the weak coupling expansion may just be due to a bad expansion of a good theory.
The finiteness conjecture has both intuitive and calculational motivations. On the intuitive side, there is a vague notion that one should not be able to propagate at energies where wavelengths are less that the Schwarzschild radius. The Planck energy should thus provide a natural cutoff. This notion has also received some support from explicit calculations. Non-perturbative summations of ladder [...] and cocoon graphs [...] have in fact produced finite results.
Unfortunately, these calculations are not gauge invariant and do not represent a systematic expansion in some small parameter. Furthermore, in recent years, systematic expansions have been developed in parameters that are small at all energies [...]. Quantum gravity is not finite order by order in these expansions.
The prospects for a sensible quantization of the Einstein action thus do not appear terribly bright. The next logical step is to alter the action by adding higher derivative terms such as $R^2$ [...]. In any case, one is forced to add these terms for renormalization.
This step is taken rather hesitantly because actions with four time derivatives generally describe theories that appear pathological even at the classical level. In fact, it can be shown that classical higher derivative gravity theories either have tachyons or negative energies for small, long wavelength fluctuations [...]. Thus they have pathologies that are evident on macroscopic length scales. How, then, can the quantum version of these theories possibly be reasonable? The miracle is that some, if not all, of these instabilities can be systematically eliminated from the quantum theory. This will be discussed further in the next section.
I really encourage the interested reader to have a look at the rest of the essay. In a nutshell, one can in principle formulate consistent theories of quantum gravity, but at a very high price. In fact, most people haven't heard about these formulations, which is a strong hint that the community doesn't consider them to be relevant nor useful solutions to the GR+QM problem. For one thing, they generate more questions than actual answers. But'll I leave the reader reflect about the situation themselves.