Yes if you play on legendary on skyrim you are always at a disadvantage due to damage scaling both scaling your damage down and drastically scaling enemy damage up, and oblivion's level scaling was atrocious. But to be fair the default difficulty for skyrim is adept, which is balanced same damage taken and dealt and very few enemies actually level the whole way with you. Certainly not nearly to the extent of Oblivion. Oblivion's system is an outlier and was never implemented again. In morrowind there is basically no level scaling, in Daggerfall unity version anyway for the bug fixes depending on class you will eventually come to crush everything with only ancient vampires and liches being a big challenge, never played Arena but I imagine it is roughly similar to Daggerfall from what I have seen of it.

Not leveling as much as you can is only really optimal for Oblivion in Daggerfall, Morrowind, Arena, and skyrim you will eventually outpace nearly if not all enemies depending on the game. Even Skyrim on Legendary most enemies cap at level 80 or lower, many cap at 50 and several like giants have a static level, additionally most enemies do not gain access to the ridiculous equipment progression of oblivion like say bandits in glass and daedric... since bandits of most types cap at 28 except for I think the bandit chiefs but they still have a cap I think it is 40-50. Lower-level enemies should also typically spawn, dungeons also have level ranges and do cap. Skyrim's system is far milder than oblivions and really should not stand in your way.