I don't think this game needs to have villains like it was a shounen anime all of the time. Maybe we could get more non-action villains like Loloritto, or vague background villain circles like how the Forum was characterized in job questlines. Or maybe an expansion without a villain (you could still have real stakes in other ways).

I'm not sure I'd like a customizeable nemesis, as he would be restrained by FFXIV's extremely limited character creator and customization options. Half of the joy of playing a JRPG is the aesthetics so maybe a pre-designed character would be visually more interesting.