The CData Azure Cosmos DB Driver Comparison highlights the benefits of using a third-party driver over Microsoft's free ODBC driver for performance, feature support, and platform compatibility. The drivers provide increased performance compared to the Microsoft ODBC driver, supporting advanced push-down query capabilities and computing aggregations server-side. They also offer full support for built-in functions, user-defined functions, stored procedures, and JOIN ... IN queries, which are not fully supported by the Microsoft ODBC driver. Additionally, the CData drivers are available for Windows, Linux, and Mac platforms, whereas the Microsoft ODBC driver is only available on Windows. The comparison also mentions that CData provides native SSIS components, a Power BI connector with improved performance, and support for connecting to Cosmos DB from various applications such as Java and SQL Server Integration Services.