I know that theoretically there should be no difference between extract and all-grain if the brew is done well and properly fermented - but I always seem to taste a thinness in extract brews.
It may just be skill and experience that makes the difference (as most folks move to all-grain after brewing extract for awhile). I may brew extract again and see if I still taste the 'extract' thinness.
My advice: if you are not consistently hitting your starting and finishing gravity targets - work on your process (brew, yeast, fermentation temp etc).
If you are consistently hitting your targets, try a mini-mash kit for your next batch and see if that makes a difference.
While we're at it, think about trying Brew In A Bag. Knowing what I know now, I would have played with BIAB for awhile before moving to a three-vessel all grain set up.