Support COAP natively for IoT Hub
Early documentation mentions COAP support in IoT Hub, but it does not appear to be supported natively and so requires convoluted gateway/proxy which is another potential point of failure. Being lightweight, COAP is important to the IoT domain and IoT Hub should allow direct connections from low power devices as much as possible.
Support for DTLS (with symmetric key and certificate) and dtls connection id (https://datatracker.ietf.org/doc/draft-ietf-tls-dtls-connection-id/ - needed for most NB-IoT networks since they use carrier grade NAT) would be very useful. Without DTLS, CoAP would likely be unencrypted and unauthenticated.