Most of us have complaints and criticisms of the software we use, including SQL Server. We see the failings of the software, the places where it forces us to work harder than we'd expect to work to accomplish a task. That's expected, since the design of any piece of software, from Notepad to SQL Server, involves design decisions that are geared to solve some problems, not all problems.
As a side note, this is one of the places where third party tools can improve the operation of software that allows plug ins. Small companies often build utilities that solve specific problems, and if you are irritated by something in SQL Server, consider looking at third party tools. My employer, Red Gate software makes software designed to make the DBA or developers' job easier, but there are some great tools out there from execution plan explorers to reporting add ins for SQL Server.
However Microsoft does try to improve SQL Server regularly. This week I saw Chris Webb note that the SSAS team is looking for feedback. In the past we've run various surveys at SQLServerCentral for Microsot and as an MVP, I've noted that more and more of the specialized groups working ont he SQL Server platform are sending out surveys about their particular features. I've seen Microsoft ask for feedback on how the platform is working for you.
Change doesn't always occur as fast as we'd like, and there have been no shortage of issues with the Connect system, but I have seen it work well in a number of cases. I do think Microsoft is listening, and I appreciate that. However I also realize that my feedback is just an opinion, not a vote in what gets implemented in the next version of SQL Server.
I encourage you to give feedback when you get the chance. Your particular suggestion or bug might not seem important, but if enough customers submit the same feedback, I'm sure it will get implemented in the platform.