Dispatching units to destroy trade caravans would be a nice feature, and it would be sort of interesting to hire mercenaries or recruit soldiers that go specifically with the trade caravans (and can be shifted around caravans). The battles could be fought in real time (fun, but it would take ages), or like naval battles in R:TW.

It would need to be thought over though. It could also completely destroy parts of the game, and might make the game easier (to cut off trade, just camp the trade routes).