There is espionage/intel-gathering in HOI4. It's just heavily abstracted and having higher decryption than the enemy's encryption gives you an advantage.
The thing about espionage in games is that it's usually crap. Either is op or up, or micro intensive or barley engages the player.
The devs have said that they will do espionage one day but they sent going to do it until they can do it properly/well. This is something I can get behind.
This exactly.
I'm glad Stellaris didn't borrow that particular trope from other 4X games. The espionage in HOI3 was... okay, and the covert ops thing was interesting, but please, never impleent "classic" espionage where you have to keep buying spies for then to send them on generic missions. Minor things like stealing documentas is way below the scope of HOI4 anyway.
I think the covert ops system in HOI3 would be the closest to what I'd want in HOI4. What would also be interesting would be some random events and whatnot related to espionage, like cracking the Enigma code, planting a high-level spy, what have you. Perhaps also you'd be able to do what the Allies did before Overlord and feed the enemy false intelligence on your forces.
What I'm looking forward to much more is a good, fleshed-out, interesting partisan system, and do things like arm partisans, give them "missions" at the cost of PP like sabotaging infrastructure in a state, and so on. And a system for hunting partisans, of course. EU4 has a rudimentary system for handling rebels, something like that would be a start.
That, and the ability to do proper raids, like Dieppe and Archery, paratroopers dropping on top of enemy divisions to distract them like on/before D-Day (try this ingame and they just get killed

), etc.
Tl;dr: Yes to a deeper intel system, some covert stuff, a deeper espionage system, and shenanigans with partisans. No to a classic "spy system".
At the risk of repeating myself, espionage, like money, is something player seem to want in the game without really having a sense of how it should work, let alone what it would improve.
It just seems that because espionage features in a lot of histories of WW2, they want an "espionage" button that they can hit that does... something.
From a game design perspective, though, that 'something' is kind of important, and it has to be something that A) engages the player, B) doesn't break something else, C) isn't overpowered or underpowered. That's a tall order.
I know people will say "Oh, it couldn't be that hard for the devs to build something". It wouldn't be impossible, but I've noticed here and in life generally, people's estimation of the difficulty of a task tends to be quite closely aligned with how much they want the task to be completed. Or rather, we always think the things we want done are easy to do.
Also this. I'm basically in support of any historical feature to the game -- as long as it's properly implemented.