References (e.g. this one) usually say that the force on a magnetic dipole in a magnetic field is
$$\vec{F} = \nabla\left(\vec{\mu} \cdot \vec{B}\right) $$
So consider a circular loop in the $xy$ plane with current going around it. Suppose the $B$ field is in the $z$ direction, but $\frac{\partial B}{\partial z} \neq 0$.
Then the formula for the force is non-zero, but the force by the Lorentz force law is zero.
I suppose the problem is that the $B$-field I described isn't physical, since is has non-zero divergence, but where does that break the derivation of the law for the force on a dipole?