Now that everybody is listing their suggestions, I would like to add mine as well:
1. Saving rollout info in .sgf files. Massimiliano mentioned this as well. Right now when I want to send a rollout to somebody, I have to send exported HTML files, which is unhandy.
2. Batch rollouts. Both for a complete match (with some option for specifying thresholds; maybe not only errors but also everything which is close, or all cube decisions), and also for multiple positions. Actually when 1. is implemented it would be easier to batch rollout positions since they could automatically be saved.