The major bummer during development was, for me, the lack of a command to drop a schema and all the things in it. I've found the ability to `DROP SCHEMA IF EXISTS foo` to be invaluable when iterating on DB designs. In T-SQL, the alternative is to maintain a "drop-all.sql" file, which is tedious and error-prone when making use of foreign-key relationships. (more generally, postgres' DDL seems more ergonomic)
I miss the simplicity of postgres' upsert capabilities. T-SQL has MERGE, which is vastly more complicated and verbose. I get that it is quite powerful and flexible, but I've never personally needed more than upsert semantics, and the design of MERGE means that I pay (in esoteric syntax) for features that I don't use.
Table-valued params are an adequate substitute in T-SQL for postgtresql array parameters, but driver support outside of .NET is middling at best, so our Java code gets a little dodgy when using them.
Despite the more recent introduction of JSON support in SQL Server, there is no true equal to `json` or `jsonb` types.
There's simply no substitute in Azure SQL for the variety of procedural languages available in postgresql; T-SQL, as a procedural language, is just not very easy to work with. I'd much prefer python, perl, or even plpgsql itself.
Finally, I miss the ability to add comments on tables, columns, procs, etc, directly in SQL.
Those are the things that immediately impact me; others may not be bothered at all.
