The catch is that about every single possible feature we can think of(to an extent) has been implemented in some engine. There is NO engine that has all the features, and some features are more rare than others, at least out of the box. Destructible terrain is a big one. I think it is C4 that has it, and no other engine as far as I know(at least of the big names) has it. With UDK, it is supposed to be impossible, though with the source licence(Unreal 3) it is much more possible. Unity doesn't directly support it, though they give access to a low enough level that it has been made possible, but not by default, rather coded in. Unity just recently (4 beta) allowed a normal mapped shader to apply to terrains(as in the internal splat-map terrain) without having write a special shader on your own, while UDK already had that one. Other engines may or may not have it. Animation systems are similar, while UDK has had IK for a time already, Unity "relatively" recently got it with the addition of the Mechanim animation system. Most other engines don't have IK at all.
Those aren't the only examples. Like I said, at least to this point, there is no engine that has every single feature yet, although almost every single feature has been implemented in SOME engine.