Let me preface this by saying I think that overall the integration level with Spotify has been headed in the right direction along with continual improvements to the app as a whole.
There's a couple of things that irk me though, my hope is that they're in the roadmap.
1. Sorting! I have a lot of albums in Spotify and having them organised by recently added is the primary way I browse them. This would be such a huge win. Of course I'm guessing that alphabetically might be the way the API serves them up.
2. Artist organisation. Whenever I go into an artist on Spotify I get a nice chronological view that's broken down by Latest Release, Popular, Albums, Singles and Appears on. Top tracks in the current setup on Sonos is helpful but not being able to tell singles from albums can be a bit frustrating.
Anything beyond that is just gravy for me at this point.