In fairness, I believe these are subscription based services on the sonicwall (at least it was when I had a sonicwall). The same features would normally be implemented in different devices, and could still be with a mikrotik.
And I don't see a reason why something couldn't be done on the mikrotik - either natively with some scripting, or by making use of the meta-router functionality (a linux vm running on the router which you can pass traffic too and have advanced stuff done)
They are not rock-solid routers and frequently ship buggy releases, especially if you are using advanced features or their wireless offerings. They are great, they have a ton of powerful features, but don't use them unless you plan to spend time maintaining them and learning a lot about them.
Manipulating their firewall rules is also a really cool way to intro yourself to iptables concepts.
Sonicwalls have a comparable feature set for hardware and basic networking, but also add the ability to do some UTM on the device - things like content filtering, antivirus, etc. for traffic passing through. There's nothing comparable that I've ever heard of on the Mikrotiks.