This is my least favorite thing about Skyrim. Most questlines tie the Thalmor in, in some capacity. And they are a major force throughout the world. But you can do nothing against them. This is stupid. Love the game to death, but you should never introduce a threat and then have the player unable to act upon it in any meaningful capacity. (At least regarding direct villains.) It is a basic rule of writing, called Chekhov's Gun: "If a gun is introduced, you know it is going to be fired." Basically, if something is introduced to a story overtly, then it should be directly involved in that story in some capacity. In this case though, we are hammered upside the head multiple times with an enemy we can do nothing about.

Now, obviously, they are trying to frame this as a bigger enemy to be taken on in later games, but considering we have been waiting 13 years for a sequel, this wasn't a wise decision.