So this might seem like a small thing but its something that I am very used to with other firewall vendors.
I love opnsense and this is by no means a deal breaker but I would love the ability to add host objects on the fly while creating rules, it is a hassle after almost completing the rule to realize you haven't made the alias yet, having to go to a whole separate blade create an alias then come back and carry on.
I like how fortinet does it, though theirs is a bit clunky where you have a pop up blade where you can create/select objects from within the policy.
I am sure this is a feature that many others find missing.