I guess I'll throw my hat into this ring:
1. Late-game lag. I feel that a key flaw of HOI4 is the fact that unless you've fully conquered one or two majors by 1941, the game really slows down. Paradox has done a decent job of optimizing the game in recent updates, but for me at least, the game has run slower ever since La Resistance came out. The fact that the game now strongly encourages puppeting over flat-out conquest may be more realistic, but being able to wipe the entire British Empire off the map by 1940 as Germany did wonders for the frame rate. Lag problems are the reason why I refuse to play the game without setting the United Kingdom to historical focuses first - the decolonization tree really slows the game down by adding a whole bunch of relatively useless tags to the game. The devs could probably mitigate the performance problems somewhat by putting restrictions on "irrelevant" countries like El Salvador that never do anything besides build up troops they don't ever use.
2. Everything related to navies in this game. This is partly on me, but HOI4 doesn't really give clear instructions on how navies work. I get frustrated trying to divide my fleets and end up accidentally making a ton of reserve task forces that I don't know how to access and I'm not sure if they even participate in naval battles or whatever. For these reasons, the only times I ever use my navies is to provide convoy escort for my naval invasions.
3. UI. Related to 2. is the fact that the game in general doesn't really tell you what a lot of important things do. For example, I had no idea how important combat width was before people on Discord told me.
4. AI has no "sanity checks" before declaring war. It's 1946, and my French Empire is finally starting to break the stalemate with Germany, For the last 4 years, I've fought alongside the Allies (though never joining their faction) against the Axis. I'm about to take Berlin and suddenly, Communist China, a member of the Allies, decides it would be a good time to declare war on me, thus bringing me into conflict with the US, the UK, and about half of the world. Hours of gameplay shot just because the AI doesn't know when not to start a fight. I would have gladly given them Guangzhouwan if it meant not provoking a war with the Allies, but no warning was given at all. I've had other games where I ally Italy and they decide to turn a regional conflict I was on the cusp of winning into World War II where none of us has any means of reaching the United Kingdom, let alone beating them. Very frustrating.
5. No peace without total conquest. This ties into point 4. I would have gladly ceded Guangzhouwan to the Allies if it meant going back to a state of cooperation with them against the Axis (and it's not like I could afford to garrison thousands of miles' worth of coastline across Europe and Africa to stop the Allies anyway). In LaR games as Italy, I've declared war on Yugoslavia and taken both them and France, but I'm still at war with Czechoslovakia, even though there's literally no way we can reach each other. Why isn't there any way we can white peace each other? Or take one of the many games back in Man the Guns where Germany would take over all of Europe but have no way of reaching the United States. Realistically (assuming an Axis victory is realistic) the United States would probably sue for a ceasefire.
6. Bad focus trees. Specifically, the Together for Victory focus trees are neglectful of history and tend to nerf countries rather than help them. In Canada's focus tree, you have to choose between getting manpower or getting industry, which is rough for a country that is already in a bad situation. Additionally, you have to wait for world tension to reach a certain threshold or else you are locked out of half (the good half, I might add) of your focus tree. You also can't modify your manpower law without going through focuses relatively deep down said "good part" of the focus tree.
The main problems with South Africa and India's focus trees are that they woefully neglect or oversimplify history. As fascist South Africa, you can basically end apartheid by "Expanding the Cape Corps." Absolutely nonsensical. Being able to go communist as South Africa makes no sense either. Meanwhile, India totally ignores the India-Pakistan conflict outside of the United Kingdom's decolonization tree, and Muhammad Ali Jinnah and Jawaharlal Nehru, arguably the two most important figures in modern Indian/Pakistani history, are not represented in the game at all.
The United States' focus tree is more recent but has its fair share of problems as well. The focus tree makes a rather large creative liberties that seem to reinforce modern and inaccurate stereotypes about American political parties rather than accurately representing the Republicans and Democrats. For example, in HOI4, electing moderate Republican Alf Landon (a major stretch, I should add) is a stepping stone to creating a neo-Confederate apartheid fascist dictatorship. ?!?!? Similarly, as Roosevelt, you can peacefully transition the country into a communist state without penalty. Guess Joseph McCarthy was right after all?
7. Development time. This is the least fair of my complaints, but no one likes waiting a year or more for new content, especially if it's just glitches that need to be fixed. I wish more people were working on this game.
That's the most pressing things I find annoying about HOI4. I want to stress that I like this game and appreciate the work the devs have done. Every successive expansion makes the game significantly better and I'm always excited to hear updates from the team on what's coming next. However, to pretend that the game has no problems at all would be dishonest.
