What features of Windows 8/8.1 Pro will not work without a Microsoft Account?

features of Windows will not work unless a Microsoft Account is used?

None. You only lose features of various software, and 99% of that is conveniences that nobody will miss. You lose the "Store" completely, and applications like "Weather" need to have the location configured (they can't just pull that data from your account).

Are their any gotchas of not using a Microsoft Account in a domain-environment?

Nothing specific to the domain or security.

We disable the the Store and Login with MS Accounts anyway, just so people don't wander into anything:

Computer Configuration\Policies\Windows Settings\Security Settings\Local Policies\Security Options\Accounts: Block Microsoft accounts 
Computer Configuration\Policies\Administrative Templates\Windows Components\Store\Turn off the Store application

If you disable the Store, but do not uninstall all of the apps, you will likely want to install the updates for those apps (I'm not aware of any recent security problems, but it's Microsoft software). Microsoft provides a full list of built-in App updates that can be imported into a WSUS sever (or you can extract the MSI installer from the cabinet file and deploy it however you like).

Nothing, the only real "functional" loss is that computers will no longer sync the application and user configurations across machines, and some software from the store will prompt for credentials when run.