If you could change one small thing about EU4 what would it be?

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Limit the AI from accepting more than one alliance per day. This is only something that impacts the very start of the game but sometimes it really shows.

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No Burgundy you only have one diplo slot available. Just because I decided to play Holland doesn't mean you can do this.
Oh, if the AI is gearing itself up to do non-standard things like that just because you the player are parked next door - that's just wrong. The AI should play a more "realistic" and logical frame of mind, not an anti-player build up.
 
Alternatively, they could add a penalty to every single other religion.

I'm not a fan of bonuses without drawbacks.
The drawback is opportunity cost. You can't get the bonuses from Sunni and Ibadi at the same time. Being Catholic means you don't have access to fervor, or whatever other mechanics.
More importantly, giving penalties to all religions, however, is opening more than a few cans of worms which will make some very angry people if you choose a penalty too severe...

I think the penalty to Catholicism is a holdover from release, when there was hardly any flavor for Protestants and it was a good incentive to swap. But since Common Sense and Wealth of Nations give them unique mechanics...

On that topic, the small thing I'd like is the "Bible Translated" event to give you a random Christian denomination instead of Protestant (if Catholic) or your own (if any flavor of Protestant). Just because that local priest translated the Bible from Latin doesn't exactly mean the populace will think like the state Church. Perhaps they'll think more like the Coptic Christians?
 
The development system from concentrating development and taking dev from enemies from wars. Instead of it going to the capital, maybe having the 10% go to the capital and the rest to random provinces. Extra points if there is state capitals where you can assign concentrated development to them from peace deal concentration.