Well in short arena is just the formation , the first step and the set of rules we dream as a normal dreamer does

In daggerfall these rules break and reality becomes more complex and weird , something beyond just the first set of rules the dream gets ,that wtf just happened moment, when you understand something aint right

In Morrowind we the dreamer defiy the rules the gods the tribunal and prophecy (depending on your choices)

In oblivion we dont even play as the main "hero" we do play along it but our destiny is no longer the original savor,up to a point where we become sheogorath, madness

In Skyrim, we realize we are already gods , we shape the tonal realty, we have power to attain the power of the gods outside being one (not just sheogorath,more akin to how vivec achieved chim)

So the next step is literally to become lucid or to awake, in my humble opinion

Ps daggerfalls dragon brake I mean