More provinces. Enough to make the whole HRE real sized. Enough to make Iberia, France, UK, Italy, Russia, North Africa, Turkey, Balkans, Scandinavia, etc. Its own world and try to unite the lands way before going for others.
This would make colonizing take longer and more expensive and also less majors annexing each other early on in the game.
Also make politics really deep and add a family tree and a government branch for democratic nations.
Perhaps complex army types and units unique to each nation, culture, region.
Way more of the world able to be colonized.
Counties, Duchies, Grand Duchies, Archduchies, Kingdoms, Empires, Bishoprics, Archbishoprics, Merchant Republics, Grand Merchant Republics, etc...
And be able to show your rulers several titles put together.
ex. King of X, Duke of Y, Count of Z..... and so on....
Maybe more deep into economy and maybe the use of resources for building things like armies, navies, and buildings... Also for trade.. Maybe this would make trade more realistic and more skilled gamed feature.