A few years ago I would have said ATP finals since it's the only big tournament Nadal hasn't won, but honestly looking back now, does it really matter? That was a time when all 3 legends were embroiled in a seemingly never-ending legacy battle and we all ate it up. They all won so much that we were grasping at straws to dissect their resumes to assess who has the greater achievements.
In reality, they had all won so much that I don't think most of what was discussed among fan bases was actually all that important (ATP finals, gold medals, etc...). That's not to say that the tournaments themselves didn't matter or that they all wouldn't have loved to win whichever title they were missing. However, stressing over these "minor" achievements for us fans undermined the magnitude of their accomplishments. We are talking about 20+ slams for all of them, which some of these younger generations take for granted now cause they may not have been there since day one, but for some of us who were here since the literal very beginning, it's hard to emphasize how flat out impossible this seemed. 20 slams was a fantasy number that was never even entertained. For Nadal, he was projected to win 6-8 "if his body held up." So for me to sit here having watched all 22 Grand Slam triumphs and say his career is missing anything now that he's retired doesn't sit right with me. Yes, I wanted him to win the ATP finals when he was active and I still remember the 2010 loss to Roger in London and how much that hurt at the time (what an all around great tournament that was. The Murray-Nadal semi is a forgotten classic). But now? It's not something a Nadal fan should really dwell on.
The reason for that ties into the second point that a Nadal fan could potentially raise in response to the OP's question: winning more non-Roland Garros slams. Obviously, I would have liked Nadal to win more slams of any kind really. That obviously applies to any fan of any player. And yes, I do feel a little disappointed he didn't win another Wimbledon after his 2017 return, where it seemed to me his grass court game was a lot better than it was between 2012-2015. Nadal himself explicitly mentioned that on the podcast with Roddick last year (he said his knees just weren't allowing him to play well on grass until then, a statement that would have started a civil war on these forums 5 years earlier). The 2018 semi final loss to Djokovic hurts because he was clearly the better player that match and Novak was definitely still lacking confidence at that time.
However, one thing I definitely wouldn't not take is exchanging some of those French Open titles for some other slams, in search for a "more balanced" resume. This was always an argument on these boards during those years, but in hindsight, Nadal's 14 French Open titles are exactly what makes him Nadal. Wishing for fewer titles in Paris, even if it meant more Australian Opens or Wimbledons, completely devalues Nadal's uniqueness. There's a reason his footprint is forever stamped on Chatrier. 14 French Opens is one of the most momentous feats of dominance and greatness in any sport, let alone tennis.