Connections are a matter of configuration. Perheps Azureus' net code is more optimized, But i still prefer less resources (ALOT less), even if it takes a minute more to connect to the peers.
DHT tracker support is planned for µTorrent v1.2 as far as i know
Kazuya Mishima: Yup, you redownload the torrent in the new client and select the partial files (or save to the same place you saved in azureus), and the client should scan the incomplete files and pick up from where azureus left. I would advise to make a copy of the files just in case something goes wrong (shouldn't really, but its a shame accidentlly ruining a few gigs of data).