I would like to see possibility to have process of diplomatic talks. So diplomatic events wouldn't be one by one, seperated, but a process of talks. For example, finnish-soviet talks of 1938 and 1939 - with no results, so the chance for soviet attack rised. Maybe diplomatic talks could be kind of similar to how battles were in hoi2, abstracted, with a progress bar that goes there and back. For example talks of Finland and SU that happend in 1939 October-November would be best showed by this. Fins, managed to talk talk, talk and talk, and delayed Soviet attack by month, which was more then enough to mobilize as good as possible - which is what they did. None of the Baltic countries imagined that they could, do the same - act as proud, independent and cunning country and spend weeks on delaying talks. (similar like usrnme_h8er said)
Units firepower would lessen with more of its soldiers killed.
Realistic and historical destructions in Europe, after the war and realistic rebuilding and establishment of postwar Europe.
Nations would have the possibility to push a button "Grant rights of exiled government to our embassy in ..." Good thing would be if there would be such embassies IG, but if not, the button should still be in. The example of Polands government in exile shows that route of escape for government officials is also important, though embassy that has rights of exiled government, can actually function without them and there are many examples of that. Poland's officials escaped through Romania, and wanted to establish government in exile already there. Romania wanted to stay neutral, though it also could have given those polish officials to either of aggresors, but they were allowed to pass through. So the country, in which the target embassy is located, have to accept or reject that, depending on relations to great powers, which would definitely be influenced by this decision. It also should decide what to do with finansial reserves, that all countries had, for example, in london. For most of exiled governments, London, and Washington decided to not give full access to former countries financial reserves, only give income, that those deposites earned.
Possibility to mobilize historical mobilization reserves in historical time frame - week at most, even during peace time, if threat level is high enough. Newly mobilized units could arrive with few days delay, not all at once. Partial mobilization would also be great. And if enemy has invaded and conquered some areas, less troops should get the chance to be mobilized.
Possibility to reinforce existing divisions during mobilization process, it would work well if partial mobilization would be possible.
Impossibility to have unrealistic trade, like Germany - Japan in 1943 or at least impossible to keep it for longer then a few days. Thus many countries would be forced to have as good relations as possible to historical trade partners - like Germany with Balkans. Thus importance of trading partners would rise rapidly, as their number would be less.
Possibility, though small, for major sides to also get peace through talks, not just annex or events.
Possibility to organise and support partisans like Soviet Union did in lost lands, without necessity to be exiled government.
Possibility for Soviet Union to de-centrelize de facto, not just de jure in 15 Soviet republics, if gone too far in democratic slider (or whatever will be in its place).
Change of flags and maybe name for any country, that have gone too far from its original ideology (Germany-Weimar, Soviet Union-Russia, Italy-NSI, etc).
It would also be great to have the real country names of the period, if not in all places, then in domestic policy screen. For example, there was not Soviet Union, but Union of Soviet Socialist Republics. Thus, it would be easier and more historical to distinguish for example Kingdom of Yugoslavia from Socialist Federal Republic of Yugoslavia, etc.
Coups should be in, but should depend not on chance, but on the logistical possibility to do that.
Chance to make spy "centers", for example Stocholm, Lisabon and Riga (untill 1940) were full of spies from all sides. Thus, they were points of buying, selling, finding info, making informational diversions, intercepting enemy missions, etc.
And, the most important, Liberia was never, well, maybe only in 1820ties, puppet of USA

Instead, it was the only source of natural rubber for all allies, after fall of Singapore (millions and millions tons of rare materials..), it also was to be initial staging ground for invasion of Europe, so long live to the then-not-so-backwards-country-Liberia!
Edit. And please, stop seperating 300 Luxemburgian volunteers (army historically prohibited) in 4 divisions :rofl:
AI should retreat from battles that are impossible to win, if there is still place and other troops to manuvour, and if better defencive positions are available, though this should defend on political or event policy too, as Germany, SU, China, Japan, have on some no-win occasions even attacked.