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 offers robust stability and performance with strong security features like DDoS protection and traffic filtering, plus seamless integration with other Azure services. While it excels in scalability and connectivity, it lacks intrusion prevention, advanced filtering, VPN capabilities, and malware protection. The service also struggles with inconsistent regional performance, notably in China, and high costs compared to competitors. It misses features like WAF and load balancing, affecting flexibility and adaptability.