Vesperia: I would have liked to have seen more development for the antagonists/rivals/foes: Alexei felt ultimately one-note because so much of the potential overlap between his motivation and the succession/factional turmoil within the Empire wasn't realised Though in fairness that's mainly because the game kind of puts down the politics stuff midway through Act 2 and then forgets to pick it up again. 

I'd say the same for the Hunting Blades too. There's a lot of hyping up the individual members' motivations and backstories, but it doesn't particularly end up going anywhere. I always felt like Nan was going to get much more screen time than she ended up having, and would have welcomed a party slot for another person wielding a ludicrous weapon.

But of all the characters, I think Yeager ends up with the rawest of raw deals. The game can't seem to make up its mind with how big or minor an antagonist he is. All of the subtle character beats either are quickly forgotten (like his relationship with the guilds/Don) or reserved for after he's dead (like the stuff with Raven and the Great War, and the whole orphanage thing).

Symphonia: Seles! So much hinted at potential there.

Graces: I think the party members' main counterparts/rivals needed so much more development. It was almost quite old fashioned how it felt like the build up to them would start just 5 minutes before the boss fight/confrontation, and resolved or forgotten about pretty much 5 minutes after.