This is also a big issue for us. We utilise custom objects heavily and not having activity auto-associate to those custom objects is quite a headache and causes more manual work for most of our teams.
One example: we have 2 teams in HubSpot which speak to each other regularly. When Team A email Team B from a custom object, the email is associated to the custom object. The email is received by Team B in their ticket pipeline and is still associated to that custom object. However, when Team B go to reply to that email, the reply does not have the association to the custom object. This means that when the email comes back to Team A it generates a new ticket in their pipeline and they have no idea which records the email is supposed to be associated to!
I also agree that it would be tremendously helpful to be able to choose which custom objects get associated automatically and also be able to control filters to stop ativity being associated automatically to Deals or custom objects which are ‘closed’.