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 reliable performance and seamless cloud integration, enhancing security with features like network filtering and DDoS protection. It is auto-scalable and cost-effective with strong support but lacks features like intrusion prevention and advanced filtering. Pricing is considered high, with limited threat intelligence and functionality, lacking built-in VPN and advanced capabilities. Implementation inconsistency across regions and slower speeds in specific areas impact its suitability for complex needs.