One thing that I'd like to see in EU5 is an overhaul of the colonial system, mainly the way their loyalty and mechanics work, because as it currently stands the AI in charge of the colonies almost never rebels, even when they hate their overlord and outnumber their army as much as 3 to 1, for example the other day I had a game as the Ottomans where I crushed Spain and conquered all their provinces in Europe and yet they still had a massive colonial empire despite being relegated to a shitty random island on the coast of Africa which meant that they were still the number 4 great power of the world. Despite having a standing army of 30k troops, a few dozen ships and barely any development on their own.
I also would like to see some more flavour and mechanics added to the colonies and post-colonial nations, because as of the way things work now, you get a colony and you stop thinking about that colony for the rest of the game since you know it'll never ever rebel, likewise, on the rare times one or more colonies become independent they usually just blob out a bit and become annoying to fight against and boring to play as since they're so internally stable which is odd considering how unstable the newly independent ex-colonies were in real life with coups, revolutions, counter revolutions and wars between the newly formed nations.