Why are some programming languages Turing complete but lack some abilities of other languages?
Turing complete languages can compute the same set of functions $\mathbb{N}^k \rightarrow \mathbb{N}$, which is the set of general recursive partial functions. That's it.

This says nothing about the language features. A Turing Machine has very limited compositional features. The untyped $\lambda$-calculus is far more compositional, but lacks many features commonly found in modern languages.

Turing completeness tells nothing about having types, built in arrays/integers/dictionaries, input/output capabilities, network access, multithreading, dynamic allocation, ...

Just because Java does not have feature X (say, macros, higher-rank types, or dependent types), it does not suddenly stop being Turing complete.

Turing completeness and language expressiveness are two different notions.