Sphinx is Python-specific, and yes, in that instance much more powerful than MkDocs. MkDocs is a general documentation solution, which is language-agnostic. Also, Sphinx is normally written in rST with a steeper learning curve than Markdown, which to my knowledge is preferred by many users (especially non-technical people). As always, YMMV.
The Furo theme is rather new and borrows some things from Material for MkDocs, for example Admonitions. There's also Material for Sphinx [1], which is a port of Material for MkDocs to Sphinx. Note that it doesn't include all features Material for MkDocs offers.