For starters, it is far more faster, and it is
not in the browser. I use design tools mostly to throw in some interface mockups, and I work alone, so I don't benefit from Figma's killer features of concurrent multi-user editing and its availability on multiple platforms. One other big feature Figma has is it's approach to multi-point vector shapes, it is useful when designing some icons, but not enough to outweigh a general drop in performance.
I also like that in Sketch I can control the app and not be dependent on some remote server to do the work, especially if server owners are prone to cancelling service without valid reasons - Recently Figma has announced that it will be unavailable to Russian people, regardless of their political views, which is rather ironic, as the vast majority of Figma users are very much against Putin's regime. To be fair, Sketch owners too had pathetically followed Figma and announced that they stop selling licenses to Russian users, but at least the old licenses still work, and if they would stop for some reason, the last resort would still be available: cracked versions on torrent sites. You don't get such guarantees with SaaS apps, you are always dependent on their whims.
Also, this is the least relevant to your question, but having followed the two products for a while I'm pretty much convinced that it is mostly Sketch that does interface innovations that are quickly copied by Figma, and not the reverse. So I prefer to support the people who do the innovations.