1) Make the PC app run in the SysTray instead of as a desktop app - or at least make that an option.
2) Make both apps stay running when you disconnect the phone. I want to put the PC App in my Startup Group (or set an option to run on Windows Startup) and never have to mess with it. And I want to (once the BB app is running) connect and disconnect my phone freely and have it behave just as if I was simply unplugging my network cable and plugging it back in (which, really, is what I would be doing). Having to restart both apps every time I leave my office (with my phone) and then come back is needless extra steps.
3) Add Bluetooth support. I've been using that with regular tethering when I just need a relatively short connection (e.g. just to look something up that I can't do via the BB browser). It's very convenient at times to be able to get online without having to take my phone out of the holster or hook a cable to it. Of course, using this option would need to have a way to manually initiate connect/disconnect (in light of my request #2 above). You wouldn't want it to automatically connect via Bluetooth every time the phone came within range. That's a guaranteed way to kill your phone's battery without even realizing it.
I can't speak for the developers as to adding the features you suggested, but you can easily achieve #1 by installing the freeware "PowerMenu". It gives you additional options for controlling different windows when you right click on their title bars. For the vast majority of programs, PowerMenu gives you the option to "Minimize to Tray". The only drawback, if you consider it as such, is that you can't set windows to minimize on startup (i.e. you have to do it manually). No big deal for me, though. Anyway, to get PowerMenu, Just Google "PowerMenu" and click on the first link.