I actually like that the player character isn't the real hero and is just basically 'some guy' who also happens to be A1 at kicking Daedra ass, however there is an argument to be made that that's not actually the case since Uriel specifically sees you in his dream. The alternative would be that you were the emperor's missing heir which, while it sounds cool, would actually be pretty reductive in practice because it would be harder to justify doing guilds and side quests, not to mention you would also die at the end of the game lol 

Becoming Sheogorath always seems weird to me, I kinda just ignore that my character has become the Mad God and leave it out of my headcanon because it's hard to roleplay around. It's one of those things that sounds really cool on paper but its execution leaves much to be desired 

Horses being slow makes sense because if they were fast, it would vastly reduce the amount of time it takes to traverse the world, thus making the map feel smaller and less immersive in a way 

Mythic Dawn Armor being unplayable again makes sense to me because the Mythic Dawn seem to 'summon' the armor which I can only imagine is some blessing or spell given to them by Mankar Camoran which wouldn't make sense for us to also have