As a new player to CM (CMBN specifically) I admit I'm probably not qualified to be making change proposals without earning my stripes so to speak, but hey, I will anyway.
I'll state up front I'm absolutely loving CM and as a new player I wish I'd found it sooner. I feel like I've missed out on years of fun.
Anyway, from my relative noob perspective and having now played and experienced both "games" I'll make what is probably a sacrilegious comparison with a different game series, Graviteam Tactics and suggest some changes I think CM would benefit from and because once you've had them - you miss them when they're gone:
1. Campaign generator.
2. AI capable of reacting to the players actions.
3. Dynamic strategic campaigns and battlefields that leave destruction, lost units and vehicles in place over the course of future battles on the same terrain. The immersion and feeling of awesomeness this gives you as a player when you notice it for the first time is seriously cool.
4. Ability to review, assign reserves your troop and vehicle load outs between engagements.
5. Better review and breakdown of engagement statistics and casualties etc.