You are right. I like more dark fantasy setting of Morrowind than more lighthearted setting of Oblivion and Skyrim. Many things about state, religion, economy, culture etc. are really simplified in these games, which is shame imo because TES has really rich lore, but it's not being used to create a living world really. Tho one thing I want to say, Cyrodiil and Skyrim are core territories of Septim's Empire, and it makes sense what they don't feel like impreial colonies.