AFAIK, if you target an enemy unit and that unit e.g. ducks behind a wall and breaks LOS, your unit will still "keeps tabs" on that target and if it reappears later, will again target it (unless other more threatening units are spotted). This "monitoring" should already be in the game.
What I would like to see, would be a way to give two kinds of targetting orders: "hard" and "soft" (for want of better terms). Normal targetting orders would be "soft" and would work like targetting works now in CM, i.e. your unit is quite free to switch targets if it needs to. However, "hard" targetting orders (e.g. given by pressing CTRL while clicking your Target-order) would be much stronger and your unit would be very reluctant to change targets (would have to be a close by, very threatening enemy unit to retarget). This way you could e.g. order a MG team to keep firing on a certain unit or area for as much and as long as possible (concentrating on that target). Now, at least once a battle, I have to shout at those virtual men behind an MG42 or Maxim (yeah, I know they can't hear me, but you never know... ) to not change targets against my orders. Damn, it's infuriating at times! OK, I should use the "cover arc" command more.