I'd like to see both a global ignore from what's new that we could set as admin (to remove classified forums, off-topic discussion forums, forum questions (how do I use this) forums, testing forums.)
I'd also love to see something like the OP suggests where users could individually exclude the forums that don't interest them. My first xenforo forum will be categorized by make where many will be interested in a few specific makes but not others so much. A customizable what's new to show what is new in the forums you're interested in would be a pretty nice feature.
Some of the computing/net forums I visit regularly I could really make use of this too where they are dividied by os, control panel, software, hardware type, etc. where I could definitely see the use of cleaning up the what's new to the multiple software/hardware I'm currently interested in or running only but excluding those that I just don't have interest in right now. Much faster than viewing each forum one by one when you visit daily and there are a number of areas, and easier than having to sift through when a site covers enough topic area that you're not interested in everything.