Wouldn't this, in RPG terms, mean that when your character grows in levels over a certain point, he will start losing stats? We have to remember that whatever changes, the gameplay should be rewarding. If there is a point after which holding your nation together becomes impossible, then players will just conquer until that pre-determined size and stop. What then? You hold your lands, pick all military ideas, are the strongest nation on earth and are left wondering why the game didn't become any more challenging, it just ended sooner because you know that if you would conquer 1 more province, everything would just blow up and you might as well start a new game.
Of course you shouldn't lose your stuff at high power levels, don't be silly. And I'm not proposing a threshold at "oh, at 600 development your empire magically explodes". In CK2, once you've reached the size you want, an easy majority of your interactions are going to be with people within your own realm. When you're just one province, that's not true; your interacting with a ton of people outside of you. The type of actions you undertake and who you do them to are directly impacted by your size.
In EU4, to me, this would translate to some indeterminate system of internal politics which would require more attention as you grow. With very few provinces, everything is close enough to your capital that you can keep a firm hand on things. At some intermediate number, the noble dynasties or what have you are growing a bit wayward. And then at some point, it requires the players pretty much nonstop attention to keep them happy. At some
soft limit, your skill in managing what you have is reached and further expansion must be indirect - beating up your enemies to prevent them from growing too strong while also holding your country together, forging strategic alliances to prevent those nations from attacking you, guaranteeing countries that could provide land to your enemies, etc. And if you don't do that for whatever reason - some bad combination of events, inability to declare war, etc, then they band together and well now all of a sudden you're being knocked down a peg or two. Not to your destruction - they'll eventually run into the same problems you did, of course - but you won't be on top anymore.
That's what I mean by raising the difficulty of challenges in this case. Not that you get weaker, but your problems and difficulties grow in correlation with how close to top dog you are. Either you choose not to push yourself to the limit and not ever reach number one, or you do to maximize your power at the risk of eventual collapse.
(Edit: of course, this is just the GSG solution to the problem. The 4x version is just to have your enemies blob as hard as you do so that at every given point you have an enemy of comparable strength to fight, but as noted before, this leads to the classic 4x problem of at some point, sooner or later, you
will be the last man standing)