I prefer to right-click on e-mail and "create rule from message" from context menu. Also, the feature doesn't require any steps to configure, install or enable, it just works out of the box.
Unlike the Outlook+Exchange combination Sieve is an actual open standard (RFC 5228 & RFC 5804 & co) though that can be implemented by all mail servers and mail clients. Or is the Outlook+Exchange feature based on the same?
Looking at the sieve website it seems quite a few desktop and web mail clients do have support for it either out of the box or as an add-on. So I would say that having this functionality is more on the "common" side than "borderline unique".
Exchange rules configured through Outlook are omnipresent.
Sieve might be supported by many email clients, but is pretty much nonexistent in corporate email.
Actually, if someone points me to one hosted email provider that does support it, I'd be glad - I was wondering about trying it out but nobody supports it.