I think that one of the best features is definitely the premium version, along with the IDPs in terms of the intrusion detection and prevention system.
Azure Firewall provides robust security features like threat intelligence and DDoS protection, integration with Azure services, and autoscaling capabilities. While appreciated for its stability and cost-effectiveness, it lacks features like intrusion prevention, advanced filtering, and TLS inspection. Its threat intelligence isn't on par with providers like Palo Alto, and there are limitations with IP ranges and inbound traffic. Pricing is considered expensive, and a broader feature set is needed.