I wanted to start off with a positive statement about the Thieves Guild DLC and simply state that I quite enjoy it as someone who enjoys stealth gameplay, and I believe it finally added something meaningful and entertaining above and beyond the foundation that Legerdemain first gave us. I'll just post my points right away from here.
1. I believe going forward the story would be more compelling (and fun) if we could start to gain control and unite the various outlaw dens under the control of the Guild. From a gameplay perspective this would make it possible to do repeatables from different locations, rather than travelling from Hew's bane to Grahtwood to Hew's bane to eastmarch to hews bane to elden root and so forth. I have a hard time understanding why the Thieves Guild should expect us to constantly be using jump gates to reasonably accomplish goals (I know we're superheroes but still).
2. I would like to see a heroic alternative to the Thieves Guild. One of my biggest problems in the storytelling of Skyrim was that unlike the Dawnguard Expansion, much of the game leaned toward the spectrums of mercenary to villainous to diabolical. Pure heroes really seemed such a rarity, and storyline options for such were greatly diminished. One simply left the story hanging without any meaningful alternative in the Thieves Guild of Skyrim nd likewise the Penitus Oculatus had a very weak storyline when compared to the Dark Brotherhood. The Iron Wheel of Taneth might very well have been a fantastic storyline alternative to playing the role of Thief. I'm still hopeful something along these lines is possible.
3. More Heists. These Heists remind me of the Thief series (Thief: Deadly Shadows) and so forth. I would love some missions that instead of setting a time constraint gave us difficult objectives that used interesting tools (like in the thief series). They are fun as they exist now, but I could see great room for improvement and expansion here and the Thief game, Styx, Shadow of mordor all offer great alternatives and choices, which could very easily be given via Active Skills in the Thief Line. I would like to see primary, secondary and tertiary objectives (again players of the Thief series will know what I'm talking about, and honestly after playing this DLC I assume the devs played that game or were at least well aware of it).
US/AD - Dodge Hopper - Vet Imperial Templar | US/AD - Goj-ei-Raj - Vet Argonian Nightblade
US/AD - Arondonimo - Vet Altmer Sorcerer | US/AD - Azumarax - Vet Dunmer Dragon Knight
US/AD - Barkan al-Sheharesh - Vet Redguard Dragon Knight | US/AD - Aelus Vortavoriil - Vet Altmer Templar
US/AD - Shirari Qa'Dar - Vet Khajiit Nightblade | US/AD - Ndvari Mzunchvolenthumz - Vet Bosmer Nightblade
US/EP - Yngmar - Vet Nord Dragon Knight | US/EP - Reloth Ur Fyr - Vet Dunmer Sorcerer
US/DC - Muiredeach - Vet Breton Sorcerer | US/DC - Nachtrabe - Vet Orc Nightblade
EU/DC - Dragol gro-Unglak - Vet Orc Dragon Knight | EU/DC - Targan al-Barkan - Vet Redguard Templar
EU/DC - Wuthmir - Vet Nord Sorcerer | EU/DC - Kosh Ragotoro - Vet Khajiit Nightblade
<And plenty more>