some things that should have been included or made better imo
more spell effects and spellmaking (better magic in general)
as has already been mentioned, the ability to kill delphine and all other blades
more weapon types, each with different positives and drawbacks instead of just being slower but dealing more damage e.g spears would have good reach making them effective for lightweight melee characters who want to avoid taking damage compared with one handed axes or maces that are a much closer range weapons suited for defensive heavy weights who use shields as well. or at least something more complex, making it actually matter if you use a sword or a mace or a spear or any other weapon.
making your character have a greater impact on the world. except for a few guards hardly anybody mentions that you're the arch mage of the CoW or harbinger or the dragonborn who just saved the world from Alduin. Npcs dont have to recognise you as a hero but maybe they would mention things about quests you complete.
The civil war could've and should've been much better
Puzzles that consist of more than copying the symbol right in front of you
more consequences and restriction for joining factions. you can't join the companions and the CoW, and a mage can't join the companions just as a heavily armoured orc berserker can't join the thieves guild.
there's a lot more but that's just a few things off the top of my head...
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