I thought they did a good job with Navies in Rome:Vae Victus which is very similar to this game. In the game, Navies cost a lot to build and maintain and it took a while to build a large navy. However, if you were able to build a large navy and win a decisive naval battle...then you had an advantage over the enemy even if they had a mega-army. You could often blockade strategic choke points to prevent them from attacking you and things of that nature.
There was also sea attrition and pirate fleets to spice up the sea.
I don't see why going that route again would be bad.
--Edit--
And in the same vein, you had a manpower system in Rome so that you could consistently rebuild massive armies if a campaign went badly. This game doesn't really have that, in my experience. That could be tweaked to make wars more costly affairs.
There was also sea attrition and pirate fleets to spice up the sea.
I don't see why going that route again would be bad.
--Edit--
And in the same vein, you had a manpower system in Rome so that you could consistently rebuild massive armies if a campaign went badly. This game doesn't really have that, in my experience. That could be tweaked to make wars more costly affairs.