1. Demography.
If I don't have to hack in population growth via the event system I will be a very happy bunny.
2. Rework of cores. Seperation of the concepts of local acceptance of your rule and having a valid cause to go to war. Furthermore, division of the latter concept into inalienable core territories and weaker "claims". A core gain/loss system that's more nuanced and context-sensitive.
3. An AI that's more eager to reclaim core territories would be nice. And tries to find rational borders. It can't be that hard to teach it that a high isoperimetric ratio is better than a low one, surely?

4. On that note, a Turkey that could at least be confused for a power if you squint.
5. A war system that lets you pursue multiple goals at once, V2 style. And press objectives on behalf of lesser partners. With the scoring system from CK2, so holding the objective is worth enough to win the war. In short, cannibalise all the best innovations from later games.
6. A colonisation system that doesn't end up with Portugal controlling the entirety of North America between the Atlantic and the Mississippi by the 1600s.
7. And no colonisation of Africa.
8. A map that doesn't grotesquely undervalue India and China, for the love of God. I'm thinking a couple of hundred provinces
each in these regions, at the very least.
9. Did I hear someone say "dynamic cultures"?
Something for the appearance and spread of colonial cultures at least.
10. Religious conversion. Wants to be slowed down, I think?
At least between religion groups. Islam should not be making great headway into the Balkans under the Ottomans, or into India. And even within religion groups- by the end of the period the European countries were still full of religious minorities. But in EU3 it's not unusual to see the religious map painted in block colours by the 18th century.
11. Speaking of religion: that event where a Catholic province in the middle of Germany spontaneously decides to convert to Orthodox? Let's not do that.
12. Something to do when not at war! Or, at least, more. More in the way of internal development, factions etc. Make changing governments/policies more of a process that you can interact with than a thing that just happens every so often.
13. What else? :/ Dynamic flag/country name changing from V2. Autonaming countries for dynasties from CK2. That sort of thing.
I think I'm out.