What you have stumbled upon is actually the "cryptographic development platform" called "Cryptography Next Generation" developed by Microsoft. From a cryptographic point of view there is nothing revolutionary or "next gen" in there, just a new library implementing or wrapping known cryptographic algorithms.
Diffie-Hellman is one of the oldest and most respected asymmetric cryptographic algorithms available to us. It allows two parties to exchange a private key in such a way that a passive eavesdropper of their communication cannot deduce the exchanged key. As such Diffie-Hellman is an important building block for many cryptographic protocols. It's not an encryption algorithm though. After the private key has been deduced by the two parties they still have to use a symmetric algorithm to encrypt their following communication.
This is not unique to Diffie-Hellman though, every asymmetric algorithm is used with many symmetric algorithms to build a working and secure protocol. RSA for example only allows you to use encrypt 256 bytes at a time with a 2048bit key. And for security purposes you should never user raw RSA to encrypt data. I've described one combination to use RSA securely to encrypt arbitrary data in this answer.
Elliptic Curve Diffie-Hellman is a variant of the classic Diffie-Hellman that uses an other mathematical structure - an elliptic curve - as a foundation together with the same fundamental idea behind Diffie-Hellman. It has gained some attention lately as it considerable faster than the classic variant while achieving the same security level.