The ability to organize Groups into subgroups or folders. I've got 79 groups, which is far fewer than many other users. I've got groups for palettes, groups for applications, groups for this, groups for that. It would be very helpful (to me, at least) to be able to create a group called "Applications" and move all my app-specific macro groups into it, to move all my palettes into a "Palettes" group, and so on. It would make for better organization, in my opinion.
The second feature request I'd like to make is to cast my vote for @benlandis 's #2feature request, specifically: Ability to open a second editor window to better facilitate viewing/editing two macros at once.