THIS, and also that cultures aren't unique enough as of now. The last expansion and the addition of some culture-specific features made it a bit better, but I think some religious features should be changed to accomodate culture. An example would be which characters are allowed to hold feasts, hunts, tournaments, etc. It makes no sense that a Norse-religion Frenchman (just to give an example) wouldn't be able to hold a grand tournament, and a Christian one would (seeing as how there really isn't any religious aspect to it).
A visual feature I would like to see dependent on culture would be the UI and how it looks. For instance, Miaphysite Ethiopians' UI looks the same to the UI of Catholic French, and only because they are both Christians. The funny part is that the Ethiopian building styles are radically different from Western European ones, and therefore it is sometimes a bit immersion-breaking to see the bricks of Western European castles while playing as an East-African Ethiopian. I therefore suggest that the looks of the UI should depend on the character's culture, and not their religion.