A feature necessary to most games comprised of 4 players or less is that of NAT Punchthrough, which I was surprised to find out wasn't supported in PlayFab. Games that involve two players (fighting games, etc.) or are primarily PvE (Borderlands 1/2), or are P2P for whatever other reason (COD), need this feature if they ever wish to deploy cross platform. This is because if a game is launched without a subsystem that supports NAT Punchthrough, clients would most likely be required to port forward in order to host their listen server. So in essence, if you deploy to Steam or GOG, you're fine because they provide NAT Punchthrough. However, if you deploy outside of Steam, say to EGS (I believe) or your own solution, your clients won't be able to connect unless they port forward or you deploy your own NAT solution.
This feature is present in competitors like BrainCloud (relay servers) and GameSparks (not explicit NAT Punchthrough but they establish a websocket connection to each player giving you basically the same functionality), and it's not exactly an expensive feature to add. However it makes a critical difference if you're using an Online Subsystem (or lack thereof) that lacks this functionality.