Essentially, you create a custom object that's 2x the screen size (in width and height) that way no matter where it is, it's always filling the screen and then in the centre you create a radial gradient going from transparent to black. I currently have one created and set to 2:32 which kinda works but is slightly behind the player when moving. (Set on layer 7 so that it doesn't kill player and with the gradient it causes a lightning effect.)
As to the usefulness of an object attached to the player's co-ordinates. It wouldn't just be 1 object, there'd be 3 variations of it; one where it's always exactly where the player is, another where the x is where the player's is and the y is where it was placed, and lastly one with the player's y and original x. The one where the player is exactly is demonstrated above. As to the one's only following 1 axis you could design shadows, reflections etc.
Also, there's a-lot of unused banks, perhaps you could allow us to use even more for custom objects?
Oh and lastly, something interesting would be to add a switch to change the drawing blend mode of layers, not sure if you can do that in MMf though.
Anyways, these are just random suggestions, still an amazing mod.
Edit: So apprently KS Ex has a few of the features I want (darkness etc), as well as lua which would mean that I'd be able to hack in nearly anything I could think of. I was actually looking into it before I started using KS+ the issue is that it contains the lua scripting language which some people might not be comfortable with. Also is the fact that massive amounts of scripting probably wouldn't have a very good performance impact