I turn them off. I don't mind them in theory, but in practice I find them unfun. I've said before that they wanted to avoid being accused of just copying EU's coalitions, so they changed it by getting rid of the things that make EU's coalitions work.
Most notably, threat is a universal factor; different religions may form different pacts, but they all view you with the same threat. In comparison, EU4 explicitly had AE scale based on where you were expanding, so e.g. Hungary would "feel" a different level of AE from conquering Constantinople than Ethiopia would. This gave you the ability to be strategic with your expansion, rotating where you were expanding to let AE cool off in one area while you were still free to expand in other areas. Instead, at high threat levels in CK2, you either have to sit there and not fight any wars for ages while it burns off, or fight the entire world over one county (and while you can likely win, it becomes fairly tedious).
The other issue is the scaling, which others have mentioned. It goes fairly quickly from "threat is basically a non-issue, especially for religions with sparse CBs" to "literally any expansion means you have massive threat and have to sit there for ages before it goes down." If it scaled slower (and to a lesser height) and burned off quicker, it might be more manageable.