Not sure if we're still adding to this list, but wanted to add something that's been the biggest frustration (at least for me) when working with Monogame... i.e. support for 3d models.
Maybe it's just me, but I've had nothing but problems trying to load and get models working in Monogame. Most of them end up having some weird issue (e.g a lot of the FBX's throw some error about missing or unknown references etc), or they just don't display correctly.
And those are just static models.... animated models are a completely different frustration.
I would love to see an improvement to the pipeline tool (or perhaps even a separate tool) that allows you to load different model formats (fbx, x, dae etc), preview them in a UI, adjust scale etc.. and view any embedded animations.
There should also be better support at the framework level for model animations (not sure if that's changed, but when I last looked at it, you had to dig around and try to get the skinned model sample working, which was extremely difficult).
This will validate that the models actually work with Monogame before trying to get them working in a game.
To me, this would make Monogame significantly more usable and friendly to newcomers and new developers, and would definitely have made my life easier...