Since Froggy said we aren't feature locked yet. . .
I think there should be some late game mechanic recognizing that your small group of cities has grown into a large kingdom/empire. A splash screen (like when you found your first city) and some sort of bonus (it might be neat if this was faction specific) similar to when you level a city.
It would also be nice to have a simple game play mechanic added at this point. Running a large empire shouldn't feel like running a couple of cities with small populations. Also adding a new challenge or mechanic would help alleviate some of the late game slow down so common in 4X games.
Thanks for your time, the game is looking great.