What would you change in Heroes of Might and Magic IV?

I never liked WoG, but I also didn't really like the idea of units moving freely on the map without a hero. I suggested adding a commander, like a hero, but I doubt anyone would be interested in that.

There's no need to bash WoG. Just because it includes a ton of features for every taste doesn't mean you have to activate them all immediately.
As for troops without a hero, this was done so that the troops of heroes killed in battle would be carried back to the Castle for resurrection. If you remove this, then either you automatically lose your entire army when all heroes die, or you completely remove heroes from battle. In general, it's nonsense. The fourth game is built on the fact that heroes rule, not the army.

I didn't like the fact that there are thieves in Chaos. I don't understand how they fit in with the medusas, minotaurs, orcs, etc. in the same Castle.

If you watch the movie The Lord of the Rings, everything falls into place. :D There, mercenaries and pirates fight side by side with orcs and other scum on the side of the forces of darkness. In addition, during times of turmoil, revolutions, and other chaos, looting and theft thrive in the prevailing chaos. So, you can't find a more typical representative of Chaos than a Thief.