Back when I was starting out, I actually enjoyed the challenge of figuring out how to do things and build a fort that survives past the point initial food reserves perish. I really liked reading stuff on the wiki and trying new things, getting more efficient forts working, putting together interesting constructions like minecart systems, obsidian farms or elaborate traps. The only complaint I have about all that is it takes too much time to get anything substantial done, if micromanagement could be reduced it would help a lot. I also hated interruptions like liaisons or caravans showing up that would distract me from what I was doing at the time.
But that was back when I was relatively new to the game. Fast forward a few years, up to somewhere like 2016 since I haven't really played in a while, there were two major things that irked me as a more experienced player.
First, performance. I'd really like to be able to play on bigger embarks, there would be plenty of awesome things to do in a 16x16 embark with a 1000 dorfs, unfortunately the single-threaded nature of the game prohibits that. It also irks me how people pop up whenever that is mentioned claiming concurrency is super-near-impossible-hard or whatever. It really isn't, not 90% of the time anyways, with proper design and threading libraries it's only challenging if you're doing seriously advanced stuff, otherwise the reason it's hard is because you're doing it wrong. It would definitely require some serious design changes and would translate to a lot of work, but the sheer numbers required for larger embarks dictate the need for parallel processing.
Second thing is that once the initial learning curve has been defeated, the game becomes too easy, unless the player becomes careless or wants to mess it up on purpose. There's reanimating biomes, of course, but that essentially translates to more micromanagement and taking even longer to get anything done. Food production is too easy, wealth for trading is easy too once you know what to build, army training is mostly automatic and once setup will produce unstoppable killing machines in a few game years. Sieges can be defeated by traps or turtling. While this is fun for building megaprojects, it also means there's no real need for fancy setups in fortress mode, a tiny, perfectly mundane fort can easily be happy, rich, and self sufficient, with little effort it will withstand any siege and beat the circus. Once I realized the game is 90% self-indulgence it bothered me even more than the performance limited population and build area.