Basically in the early stage of the game when you are getting leather pieces of the armor your sov looks more like a rouge than a wizard / mage which for me breaks immersion straight away. Queen Procipinee looks really nice when you are starting the game, but looks uglier and uglier as you move along in terms of her clothes.
As time goes on, my magical sovereigns find a selection of robes that provide additional benefits--more spell mastery, better defense, protection from fire or ice, etc. I don't think they're ugly, and they do get the job done, but if you want more of these, I'm sure some modder can do it, or show you how you can do it, yourself, to rebalance the selection of armor types. I suspect they could even provide robe parts, each with a smaller benefit.
Could we have a good choice of balanced wizards' staves?
The other thing is a weapon, I'm usually forced to get a mace or sword early in the game to do decent hand-to-hand damage, as the staves are really weak...
You mean you want more variety among staves? Because again, if Stardock doesn't ultimately supply, there will be mods adding a variety of weapons and armor that are more or less tropes on the standard configuration. Personally, my pure mages have no problem wielding swords, since they're never in combat, anyway. They just stand at the back, and point the swords to indicate where everybody else should move while slinging spells. Nice way to make a paycheck.
Can we have a 'built in' way of creating pure wizard which benefits from not wearing heavy / leather armor?
When I'm trying to keep my sov. as pure as a wizard as possible, I'm not seeing benefits apart from fulfilling my vision. As the game really favors of putting a really heavy armor, getting a good sword /axe / spear and only support your sov with magic. There's no substantial bonus of not going that way... Maybe we should have the certain spells that are cast-able only when a mage is in robes? Example: an absorption bubble that can be only used when not wearing an armour.
I've never had any problems keeping my pure Pariden mage (which is what I almost exclusively play) back from melee. He/she starts with the Summoner background, gets the warg, and uses the first champion recruit as a tank. No need for armor; it's all given to my tank, though he/she will wear the leftover pieces unless something magical comes along. The circlet of course goes to my tank, who gets hit with positive spells that have no maintenance cost. My research at the beginning focuses on administration and magic, until I unlock the elemental books and lower level champions. By then my first city, which is customized for trade, brings in good revenue, provides the money to buy my sovereign all the basic spells they could want, and a book or two as well for recruits. I still have to strategize how to use magic in battle, but magic isn't just about using three red to hit with a Fireball. It's as much or more about spells that lessen the effectiveness of my enemies, and increase the effectiveness of my melee types. Playing a non-physical combatant in battle with magic means being sneaky, messing with everybody's luck, and it's very well done in FE.
It sounds as though you really want something that the game world isn't necessarily about: AD&D's idea of what comprises pure mages who can't use armor without negatively affecting their spells, who only wield staves and knives, who have adequate direct damage spells right from the beginning, etc. Do everything, be everything. I sympathize, but don't think vanilla FE's lore is about this: magic is integrated with the physical world, and everybody has some of it--just some people focus on it more than others, and that's about the only real difference. It's based on harnessing elements in a lot of ways that don't involve direct damage. Personally, I like it a lot, but it doesn't seem as though it's to your taste.