Stuff like drop caps, kerning that isn't terrible, hyphenation, and better word spacing. None of it matters if you are feeding the text to a speech synthesizer, but it can make a difference when reading.
Some of that stuff you can get back by using an ePub version and reader from the AZW3 file which can typically be done using KindleUnpack. Some of it is less the file format and more the rendering engine used and they simply haven't bothered to backport it to their AZW3 renderers. Amazon does AFAIK precompute some stuff like hyphenation but not everything.
If you're willing to do a bunch of work, you may be able to recreate something close to the original KFX. AFAIK you won't get kerning though. That seems to be tied to the renderer used for KFX files.
The other part is that there isn't a single definitive KFX file for a title. If you have an Oasis and I have a Paperwhite and we both download the same book, I believe we get different KFX files. There's no reason to doubt that there will be future Kindle devices that are even better with respect to typography and so you will need to re-download your library for that device.
Today, KFX can sometimes be De-DRM'd but it's gotten to the point where it's a cat and mouse game. It works for a while then Amazon changes something and breaks it. I don't doubt that essentially uncrackable DRM is achievable.