1. No trending topics, although there is a recommendation algorithm, so trending topics should be possible in the future.
2. No private profiles. This seems important to many, but it's probably not doable in federated social media. Other privacy problems include your followers, whom you follow, your likes, etc., being public information.
3. No way to make someone that follows you unfollow you. I don't get it either, but it seems in other platforms blocking makes them unfollow you whereas in Bluesky it just stops your posts from appearing. To be honest I'm not really sure how this even works since there are no private posts and you could just access it without being logged in, but I guess the average user is just going to use the main instance anyway.
4. No way to bookmark posts yet. This should be easy to implement.
While using the web version, I found several usability problems, like being unable to right click hashtags and posts to open them in a new tab. Clicking on a post lets you reply without seeing existing replies, which seems like a bad idea, too. There are advanced search operators, but no interface to access them.
If you search for "how to do" anything in Bluesky you get the API documentation for the AT Protocol. The only user facing documentation at the moment seems to be a FAQ page.
Despite its influx of Brazilian users, parts of the interface are still missing translations, e.g. the "Discover" and "Following" tabs in the homepage weren't translated to Portuguese even though the sidebar was.
Personally, I think just the fact that Bluesky has a recommendation feed already makes it better than Mastodon for most people, but it's still in development. I haven't used the app, so maybe things are better there.