Long-term goals and reasons to explore (alien components perhaps?)
I'm going to start this out with the humble brag that I was working on modding in hydrogen when Keen added it and I once submitted a suggestion that ended up being basically the change log of the economy update, so clearly the KSH devs and I think alike. Here's to the hope that the streak continues, and if this suggestion is not added then I fully intend on modding it in.
One of the biggest problems in Space Engineers at the moment in my opinion is the lack of reasons to do things once you've built up a sufficiently capable ship and have a bunch of resources. You could go colonize Mars, or fight Saberoids, or become a pirate, or make a billion space credits, but it's all just things you do to make your own fun. The gameplay loop of getting better stuff so that you can become powerful enough to get even better stuff can only take you so far before players start getting bored. The primary and secondary gameplay loops of accomplishing goals in Space Engineers is one of the game's greatest strengths, but there just aren't enough goals to go after besides the ones you set for yourself.
To give an idea of how I hope this can be fixed I'll give an example of a game that does this incredibly well: Astroneer. Much like Space Engineers, Astroneer is a survival crafting game set in an alien solar system where the player is highly dependent on their bases and vehicles to survive for very long. The tertiary gameplay loop is at first largely propelled by progression and the tech tree, but before long the player inevitably happens upon one of many alien structures scattered around every planet. In order to fully solve the mystery presented by those structures and use that alien technology to escape this star system the player must activate the alien structures on every planet which requires colonizing, exploring, and conquering every world in the star system. It's enough to keep a player engaged in a single world for a long time, and it's orders of magnitude more fun than Astroneer pre-1.0 where the only reason to explore the other planets is because they are there and you are bored. It's still a very sandboxy game that forces players to use their own ingenuity to overcome the challenges the game throws at them while also making the storyline entirely optional.
This doesn't need to be too complicated or story heavy, anything that prevents players from thinking "well, what now?" after building their ship will do. Give players some reason to build a base on every planet, to send their capital ships into battle, to fight each other, and ultimately to create more things. Because creating things in Space Engineers is really fun, and the more reasons we have to do that the more this game's true strengths can shine.
I defer to the creative minds at Keen to figure out exactly how to implement this, but here is an example to give an idea of what I have in mind:
Imagine that there are alien artifacts scattered all around the solar system, in the same vein as the monolith on Mars but with more functionality. There are 8 kinds of alien components that correspond to the 8 planets, and there is no way to obtain them besides finding them on their respective planet. On Earth-like there are parts to build an alien device that acts like an undepletable power kit. On the Moon there are parts to build ion thrusters that work at 100% thrust in atmosphere. On Mars there are parts to build welders with a massive area of effect that can encompasses an entire ship. On Europa there are parts to build a fusion reactor that runs on tiny amounts of hydrogen. On Alien there are parts to build a jump drive that can recharge arbitrarily fast limited only by your ship's power output. On Titan there are parts to build an ore detector with a range of 10 kilometers. You get the idea. There could possibly be space-unique alien components as well. These are just examples off the top of my head, they could be refined later. The locations of these alien artifacts containing these unique components could be revealed to the entire server at once and there will be hostile NPC faction ships getting in on the action as well, so you will need to win a battle in order to get these alien components.
I think this would fit really well within vanilla Space Engineers, especially considering that the Mars monolith is already a thing that exists and the entire plot of The First Jump revolves around a powerful piece of alien technology causing conflict between factions. It adds reasons to engage in combat with NPCs and other players, it makes it advantageous to build on every planet, it leaves players who wish not to engage with alien tech free to do so, and it creates even more engineering challenges around working out to how best to use the alien components you have and deciding which ones would be best to go after next.