There are probably a lot of answers to that question. Our extended epilogue to the series explored the beginnings of a Strange New Century for London (and the world), one where magic and the faerie folk aren't just things that exist in children's stories.
What might the Great War look like with combat magicians, or infantry golems, or biplanes shooting it out with fire-breathing dragons? (It would look like Kurt Busiek's comic series Arrowsmith, which is well worth searching out if you don't know it already.) I mentioned that I can easily see a Weird War 2 game where our heroes square off with the Unseelie Gestapo and all manner of Teutonic strangeness.
My preference would be to stick to the "punk" aesthetics that boiled under the surface of the original game, however, which was intended to be a story about desperate, disenfranchised folk fighting for an Empire that has no place for them. The logical next step is to roll the timeline ahead to 1975, the era the Sex Pistols exploded on the scene, and do a game that explores the punk world straight on.
I'm a fan of Tanith Lee, just in case I've never mentioned it, and for my proposed punk ("faeriepunk"? "strangepunk"?) game I'm stealing a name from her weird alternate-Victoriana book Reigning Cats and Dogs. In Lee's otherworldly version of London, the place names are familiar but slightly changed. Her name for Whitechapel, where much of the third act of Sunset Empire came to a head, is "Blackchurch". That seems to me a great title for a sequel game.
This time, the heroes would be street kids and squatters trying to survive with their wits, magic, and little else. The Royal Magisterial Corps has long since become the Establishment, another institution that is more interested in propping up the decadent reign of Her Immortal Majesty than the struggles of the people. They train the jackbooted thugs of Special Branch to crack the heads of any mouthy little prick -- human, faerie, or c) Other -- who attracts their attention.
While the original game was, on one level, a procedural affair where the heroes investigated and mobilized and made war, Blackchurch would be a more intimate game. It would be about a community, a subculture, and above all the desperation and anger of the time.
If it sounds like this is something more than another idea on the mental compost pile, that's only because I feel very close to the setting of Sunset Empire and slipping back into it would be easy enough. Whether that's a good idea or not is something that's debatable.
For now, it's just an idea.