My main problem with 4X games, or at least the ones I play, is that there always seems to be a moment when you've established your borders, your economy is sorted out, and you have smashed your enemies grand armies in a terrific battle, resulting in their loss of a hundred turns worth of building and research. Suddenly you are so powerful that you are no longer defeatable, resulting in your long, drawn out, inevitable takeover of the world as slowly one-by-one your enemies fall before you and all they can do is send musketmen against your tanks. Suddenly your final victory feels less epic than you imagined it.
Basically, it's the point in a strategy game at which you can no longer lose because you are so far ahead of the computer in terms of military or economic power. I've seen it in just about every game where you conquer territories; Risk, Total War, Civilisation, Dawn Of War, Star Wars Empire At War, Hearts Of Iron, Shattered Union etc. I actually hacked Shattered Union so that the computer would receive more income so it could afford something better than a Humvee to send against my fleet of Abrams.
Of course this trope only gets worse when it applies to the computer...
Developers sometimes try to avoid this problem by giving certain territories (usually starting ones) special missions or scenarios, or by implementing a time limit.
I'm not really good with writing descriptions so feel free to have a go yourself.