Well there isn't exactly many comparisons between Caja and Nautilus that correctly point out the differences - the best I could find was this video:
(Note that the microphone is on the louder end of the spectrum so if you listen with headphones be aware to tune it down a bit before you proceed - in comments section the author also states that she prefers the Caja based on the comparison so there is that)
Also - there is this site that does comparisons: https://www.slant.co/versus/7572/7573/~caja_vs_gnome-files-nautilus
Sadly I couldn't find exact list but I know that Caja can: Dual-Pane View; Tree View; "Open as Administrator" and many more for which I think you need to install extensions to get it going in Nautilus: https://www.reddit.com/r/linuxquestions/comments/12lo0p0/where_did_this_nautilus_feature_disappear_to/
This link provided the most info about lost features aside from the linked video since the video is a bit more detailed/critical especially from minute 28 circa