Title says it all. While Attila has come a long way since release, there has to still be a few things that people might like to see improved upon.
For me it would be these three things:
1) Lack of Roman walled settlements. I understand that CA did not really put much effort into settlement diversity for all factions, Romans, Sassanids, and Barbarian alike but it is most telling for me in regards to the Romans. By the 4th century, most Roman cities had undergone a period of "castrumization" where formerly great economic trading cities had become castra in the face of barbarian threats (biggest example: the construction of the Aurelian Walls in Rome). Don't really get why do the Romans should have barbarian style mud-forts, especially in the eastern part of the empire. I simply feel that Roman cities should probably have a different developmental style compared to other cultures in the game. High walls should come at a tier two city for the Romans.
2) The CAI's penchant for gathering 3-4 armies via forced march before attacking your position. Simply doesn't make things fun in my opinion. Having to fight 1-2 enemy armies at the same time is one thing....but when they gather more, I feel like taking a break from the game. It's not the fact that I cannot defeat them, it just makes things very tedious.
3) Enemies staying at war with you to the point of suicide. AoC does a great job with War Weariness but I feel that the Grand Campaign should have something similar implemented. If I smash half of the Alan horde in battle, you'd imagine that the remaining remnants would be willing to come to some kind of terms.