One thing that would be kinda cool, is if it were possible to multi-choose which categories or plugin the Latest Comments were being pulled from.

At the moment the Latest Comments can only be pulled from one system, and that in my head defeats the reason for it being there.
I mean, if someone comments an Event, it wouldn't get listed because the settings are probably looking only at the Articles.

-or videos, or shop etc.

But in the same way you choose to Exclude/Include categories for Commenting, it could be a thought this worked in a similar fashion.