First off i know that it's very unlikely that any of these could be implemented and are really just some of the things that would be in my "perfect" space 4x game,
1) A more "serious" game experience - To me the game feels a little childish (no disrespect to other players or the devs) i would prefer a more realistic reaction to events in the game rather than the "silly" ones already in place for example.. "Wow we have just researched a more advanced form of farming, should we A) Give an announcement to the press of our new discovery and how it will change our lives or

Sing ol' mac donald had a farm.
2) True in game events - For me the most boring part of the game is when i'm not at war. I would like more things for me to do for example.. [event popup] "The starship xxxx has received a distress signal from an unknown source, how would you like to proceed?" I could then order my ship to head to the location of the distress signal and watch ingame as my ship moves towards the alien ship in need of help and dock with it / fend off it's attackers etc. I would then get a message saying thanks from the alien ships captain, maybe a reward of a unique tech or upgrade for my ship. I don't want events to just be a picture and an answer then end.
3) Advanced diplomacy - And i don't mean more things to trade, i mean things like being asked to settle disputes between minor races or being asked for asylum by an alien then having to avoid an diplomatic incident by deciding whether or not the aliens cause is worth the risk.
4) Better planetary construction method - I think the building of structures should be more like civs as i think only being able to build five or six buildings per planet is a bit unrealistic.
5) A more "cluttered space" and interactive enviroments - I know that having planets then lots of space then more planets then space etc is how space actually is but i feel that there should be more interesting areas dotted around such as nebulas, abandoned outposts and derilict ships which can be interacted with for example.. the nebulas could have different effects on the ships such as hiding the ship from the enemy or causing them to lose power for a short period leaving them vunarable. Abandoned outposts and ships could be captured and put into use or reverse engineered so they can be built again. Dense astroid fields could be used to give an advantage during battles if your ships are equipped with advanced thrusters or something along those lines.
I have many more ideas of what i would like to see but my fingers are starting to hurt from the typing.