Illustrator definitely has more sophisticated tools than Figma. Figma's basically got the pen tool, point manipuation, and a couple of boolean operations, and that's it. It's perfectly fine for making simple icons and so on, but you would suffer if you tried to make a complex illustration in Figma. Affinity Designer has a lot more than Figma, but less than Illustrator.
A practical example would be the "Divide" operation. This is the boolean operation that creates new shapes out of overlapping sections, for example if you had two partially overlapping circles and you used Divide on them, the result would be two pac-man shapes and a leaf shape.
Though it has Boolean operations like Union, Subtract, Intersect, and Exclude, Figma doesn't have Divide at all. Both Affinity and Illustrator do.
Divide is a really, really powerful step in building complex shapes out of simple ones, so when I need to use it, sometimes it's easier to just open up Affinity Designer, even if the rest of the design is in Figma.
Beyond this, Illustrator has a host of neat ways of working with vectors that neither AD nor Figma do. All kinds of warp actions, meshes, and a really nice system for recoloring shapes quickly. It's been 5 years since I opened it up, so I am probably forgetting a lot of important differences.