For stuff I can remember off the top of my head,
-Haru's near non-existent presence
-Along with Ann and Yusuke not really having much to do after their arcs
-Shido's palace
-Akechi's reveal and downfall. I had no problem with him being the traitor, but I felt it could've been done better. I really liked him as simply being a foil to your group, but then you find out it was all a load of BS for what was honestly probably not the greatest of reasons. Then after he's beaten, he get's off way too easy, being pretty much forgiven for everything just because "you're like us". Finally, he gets unceremoniously gets "killed" off by his cognitive version and is never mentioned again.
-Didn't really have an issue with it when playing, but after seeing it mentioned here, I'll agree that the build up to Ya'll, Da Bath probably could've been a bit better.
-The gameplay being overly focused on All-Out Attacks. Persona 3 and 4 actually had some variety by giving you reasons not to just spam AOA. P3 had it where getting up would actually cost a turn and P4 had it to where you'd get dizzied it hit with a weakness while downed and both had enemies who where resistant to physical attacks, meaning AOAs against them weren't very effective. Between Hold Ups and those kickass victory screens that I never get tired of, I can see why it is the way it is, but more variety in the gameplay would've been nice.
-The fact that the AOA victory screens don't use whatever costume the character is wearing. It looks jarring as hell when Joker is fighting in his normal clothes and you get an AOA kill only to have it show him in his Phantom Their outfit.