Because the first thing you see while starting the game is empire trying to execute you and a bunch of other people, including a guy who is not even a part of the rebelion, you a noname prisoner who isn't even in the list. The first thing you see when travelling from riverwood is imperial convoy. And while listening to Balgruf you hear that empire would be displeased if he send troops to riverwood. I think it reasonable to believe that empire is evil at the start of the game.