There are a couple of features of Scala that would be better implemented in the JVM, such has:
Generics that are accessible at runtime. At the moment, scalac saves the types of generics as hidden fields (if the class in question is a case class). This makes generics in case classes unnecessarily expensive though.
Declaration-site variance. Scala specifies the variance of type parameters at the definition site, while Java does so at the call site. This is very unlikely to get fixed though, since it would break all existing Java generic code.
Tail call optimization. Scalac can do some tail call optimization on it's own, but only in the simplest (self-recursive) case. Any other tail calls will use stack space like in the JVM.
Removal of null pointers. Scala can already handle null refs with Option[A], but because of being on the JVM, the reference to the option itself could be null, or it's parameter could be null. So you don't get a guarantee of non-null-ness like in say Haskell.
EDIT: Added declaration-site variance to list.
