I don't have a comprehensive listing, but one example I can think of offhand is that the search function works much better on Lemmy (and is about to improve further by restricting to the title field). The PieFed search feature that exists now (like Reddit's) is pretty bad, where you can paste an exact title but somehow get no matches.

An extremely minor one is that there is no preview of comments before submitting, although a preview was recently added for posts so one for comments surely is not far behind.

A more major one is that PieFed does not work quite as well for navigating "deeper" posts - you can only toggle between the one comment you are at in the moment, with its immediate parent, and "all comments" in a post, which for deeper posts also loses the entire chain bc it gets hidden below a "Continue thread" link, so even searching for exact text won't find it and instead you have to go through every single one of those one by one until you manage to stumble upon it. Lemmy is starting to do the latter as well, in a manner similar to how Reddit started to leave behind old-Reddit and transition to new-Reddit - which I do NOT like! - but at least when you somehow get a link to a comment (e.g. in a notification from when someone replies to you; or if someone sends it to you), then you can step up the chain one comment at a time, which makes working with those a lot easier.

Edit: and needing to edit this post to correct an autocorrect reminds me that editing comments on PieFed is very frustrating - it takes you to a separate page, then when you are done returns to the OP (not even going directly to your comment for some reason?), which completely obliterates your progress, e.g. if you had comments sorted and some hidden as you read through them all, then it's very frustrating that all of your effort in those regards get discarded.

Then again, there is now a fork of Thunder that is being tested on PieFed, so many/most of the above could be addressed that way? And it's not like Lemmy does not have frustrations of its own as well, in different areas.

I haven't tested moderation tools on PieFed yet.

Mainly, PieFed is both ahead of Lemmy in terms of features overall, especially for a new joiner with the sign-up wizard and the preloading of all communities across the entire Fediverse, while also being less polished than Lemmy in some other respects. But it's closing the gap REALLY fast!:-)