What is your definition of a 'fun' stage anyway? Personally i find fun stages to be stages where you need to dodge a lot of bullets without it being too hard or repetitive. Every non-Touhou shmup i have played is either stages where pretty much everything is aimed at you or stages where everything is static and needs to be memorized. Of course utilizing the same boring colour palette.
This will be a long post. Bear in mind that I'm generally going to use DoDonPachi as a counter-example here, since it's the arcade shmup I'm most familiar with.
First off, though, as for the colour palette; this is a non-issue for me, as I play shmups for the gameplay rather than the graphics. If anything, then, the bullets in Touhou with their assortment of colours are inferior to the bright, glowing bullets of arcade shmups. Many people have voiced legitimate concerns over the bullets in Touhou blending in with the background, such as MS Stage 4 or UFO Stage 5. Obviously this isn't a really big deal, but I'd much rather have glowing bullets with clear outlines on a distinctly non-glowing background than a cluster of randomly aimed red/white glowing bullets with no outline on a glowing red background (graaagh Greatest Treasure).
Secondly, the pacing; Touhou stages are often praised for having music that synchronizes with the gameplay. This does look pretty cool, but I don't actually pay much attention to the BGM while frantically dodging bullets, so this doesn't really do anything for me. What happens instead is you get a wave of fairies spewing mostly the same bullets... then a few seconds later, after you've cleared them, you get some more. This doesn't happen so much in the newer games in the series, but it's glaringly obvious in places like PCB Stage 4. Arcade shmups (in general) are the exact opposite; they're designed not to leave you any breathing room. You will never be in a situation where you are waiting for the next wave to appear; rather, you're constantly moving about the screen, targeting the next set of enemies, weighing up which group of enemies is going to pose you a larger threat. It's exciting, and emerging unscathed from a hard-as-nails stage with no time to catch your breath gives an adrenaline rush unlike anything Touhou's slow stages will offer. I mean, hell, DoDonPachi's scoring system is based around this very concept; in order to keep any kind of decent chain going, you're going to want to average under a second between enemy kills, and waiting for more than a second or two between kills will end it immediately. The fact that you're able to do
full stage chains in every stage except for stage 1 just goes to show how relentless and action-packed they are.
Thirdly, the variety; this may seem in conflict with what I've said earlier about not caring about graphics, but an average Touhou stage will consist of destroying rows of identical fairies and the occasional lone fairy on a repeated background. This is particularly noticable in something like IN Stage 3; it seems extremely disorganised and unmemorable due to its bland, repeated brown background and the fact that most of what it does is just pile a few of the fairies with the travelling familiars on the screen corners and have a few other fairies fly in from the side to fire aimed clusterfucks at you. It's not that it's particularly difficult (it isn't), it's just really, really boring. Constrast this, yet again, with an arcade shmup (
here's an example of what I consider to be a really fun stage, to give you an idea of what I mean). You have things like groups of turrets that fire spread patterns; laser turrets that pop out of destroyed buildings; large tanks that appear inside blown-up structures that fire aimed
and static patterns at the same time; and a particularly interesting section half-way through where you have to balance out the destruction of large planes that fire dense, static patterns with groups of ever-increasing small tanks that fire aimed shots at you. Things like that help to keep the gameplay interesting.
There's probably more things to mention, but that's all I can think of off the top of my head. Bear in mind that all that doesn't mean I dislike Touhou; I love those games to pieces, but even ZUN has mentioned that the focus was always on the bosses rather than the stages, and it irks me when people disregard arcade shmups for reasons like 'having a boring colour palette'.
...Holy damn, I think I went on for too long. :V