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 strong security, connectivity, and integration within its cloud platform, providing features like threat intelligence and DDoS protection. Though it excels in performance, scalability, and operational efficiency, it lacks advanced capabilities such as intrusion prevention. Pricing is a concern, and limitations in global scalability and advanced functionalities necessitate integration with third-party solutions for comprehensive protection in large enterprises.