I started to look at HockeyApp recently, and I reckon it is quite an impressive piece of software. Microsoft acquired it in 2014, and now they are pitching it as the solution for Application Monitoring for apps, regardless of the platform, while Application Insights is the APM solution for web application and services.
With that in mind, the first thing we need to know is that we need to join HockeyApp’s Preseason program – it is an early access program (they are quite into hockey over there 
). With that you will get access to the UWP support but also to another key feature: custom events.
The thing with HockeyApp is that being an app-centric tool the main usage scenario they developed the product around is when the app crashes in an unmanaged way.
Unmanaged is key here: without Preseason SDK (NuGet package actually) you can only gather crash data at the next application launch. And what if I would like to collect data from exceptions I manage on my own?
That is where Custom Events come around. They are not as descriptive as unmanaged exceptions (HockeyApp collects stack trace data, device information, etc.) but they are a very handy way of keeping track of this important data distribution.
The exception management strategy here becomes two-folded: unhandled exceptions go straight to HockeyApp with all the trimmings, while instead you need to separately log the exception data you need when you manage to catch them, and then send the relevant event to HockeyApp.
In the future I am expecting features to be added from both Application Insights and Xamarin Insights to HockeyApp. The latter two teams merged as of a few weeks ago, and this can only reinforce an already very good platform.