Personally, I wish the desktop client was a bit more lightweight. I understand why they went with Electron, and I don't think they could have afforded their speed of iterated development as a small company otherwise, but I still wish their app was a bit lighter on my laptop. I'm especially disappointed that cordless [1], a very usable third-party terminal-based client for Discord, was banned due to a ToS violation.
Secondly, I wish there was better support for E2E encryption, even just in direct messages. I wouldn't even mind it as a paid feature.