I've just made the switch, and I'll write up what I'm finding annoying.
For starters; google. They're annoying. At every turn, the OS is reminding me that I'm being mined, and google wants me to use their services. Something which was meant to be a feature of android which is being able to use alternatives, well, I still get this iPhone perception that using MS products is kind of allowed, but not fully supported by the OS.
A lot of MS apps aren't as nice as the W10M versions, while they do work better and run better. I really don't like the Microsoft Translator app on android. It has the same functionality, but the UI is generally awful. I'm trying the Microsoft Launcher, but wondering whether it's necessary. Some aspects are nice, but otherwise, dunno. I do like the bing daily image.
I haven't tried other android phones, so this only applies to the Nokia 8 flavour of android, but it feels generic, and is missing a few fine tuning features, most of them are just lack of familiarity on my part, but I'm finding that I'm having to go to the top of the screen too often. It sucks on larger phones.
A lot of the things are just about getting used to the new device. I'm trying to base my opinions not against what I'm used to and familiar with, however, eliminating that is impossible, but I generally think that android just lacks refinement and integration.
The app store, this is basically android's one real feature, everything is there. Comparing the two, it becomes painstakingly obvious that MS has got no chance of success on any mobile like device, unless their app store and environment is thriving. With that said, the google one is plagued with garbage apps, but that's due to Google's hands-off algorithmic curation.
All the talk of a surface phone, or andromeda device is pointless. I think that the first indicator that MS is serious about mobile again will be when they start to really improve their app store. At the moment, it appears to me that they're leisurely building a foundation.