Civ6 suffers from a really bad AI. EU4 AI is Deep Blue compared to Civ6 one.
I actually agree that EU4 is quite simple at its core; it's glorified Risk. Newbies can be overwhelmed by the sheer amount of modifiers and some obscured mechanics, but I don't see it in its nature as more complex than Civs.
I started enjoying EU4 a lot more once I started viewing it as glorified Risk. I've been playing a lot of Civ6 lately and some civs there feel more unique than nations in EU4 do - like Mali relying on buying things with gold, Hungary relying on city state units, etc.
EU4 kinda has the following:
1) Different government types that affect how you'll play your nation. Standard monarchy vs horde, for example, will play very different. Republics don't play very unique though.
2) Different religion mechanics that affect how you'll play your nation. Personal Unions for Christians, harmonizing other religions for confucians. Kharma for buddists and mysticism vs. legalism for muslims don't actually affect anything or feel interesting or unique. Honestly, I feel like religions should feel a lot more different than they do, by adding mechanics like Personal unions, not just modifiers.
3) Different regions (playing in east asia vs. europe vs. native american, etc) that feel different. It does feel very different playing in eastern Asia and having to deal with Ming than it does in Europe and having to deal with the million minor nations and the HRE and the nearby Ottomans. But as OP said, this particular difference falls away past mid-game when you're the biggest fish around.
4) The only other difference is if you play colonizer or not.
So there are a lot of differences, but some of them don't really matter so much, or become irrelevant eventually. (not hating on EU4, still love playing it. Just pointing out it could be even better)