Thor needs to be more regal
Thor needs to be portrayed with more nobleness and more... regal-ness (if there's such a word).
Look at how Black Panther was portrayed in Civil War. Very regal, with everyone referring to him as "Your highness" and everyone being extremely respectful of him even when he's taken into custody.
But T'Challa is only the prince (now king) of Wakanda. A small country in a remote location on Earth. Thor is the prince of Asgard. Prince of an entire world. Protector of the nine realms. Yet he's never treated with any kind of respect on Earth, at least none that he hasn't earned by being a powerful warrior.
Loki at least acts like royalty, even if he's arrogant about it. I believe Thor can be made to be compassionate yet still look royal at the same time.