The import dialog remembers your selections except for import camera. I always select do not import cameras and have it remember that for the next import.
The ability to select multiple cameras and delete them. Also I would like to delete using the delete key instead of the garbage can icon.
Detect hidden parts. Most of my models have hundreds of parts. If I want to select a part with the mouse on the model it only will select what is visible. If it is hidden behind a part I have to go dig in the scene tree to find it which is a hassle if I don't know the part name. In SolidEdge if you hover over a part in an assembly it brings up a list of all parts behind the mouse pointer so you can drill down to it without having to go through a humongus parts list.
Have scenes open to the default scene set. If your scene opens in an alternate scene set and you import a model it does not show in the scene tree until to toggle it to the default scene set. Many times I have wondered what happened to my import.
Have a rmb option to refresh and save scene set like is available for view sets. Right now if you ad parts to a scene set you are never sure if it is updated until you re-open the scene.
Make the default yes for remove part. When I want to delete a part I know what I want and don't need KeyShot to ask me whether I want to delete it or not. If the default was yes and you decide you did not want to delete it you can always get it back with undo.