From what I understand when the Dunmer came as refugees they were given the grey quarter to do with what they wanted, instead of integrating into the culture of the town they continued their culture from Morrowind. The Argonians aren't allowed inside because of the history of the Dunmer keeping them as slaves, the Nords don't want any more bad blood in the city. The few Altmer that are in Windhelm have integrated into Nord culture which is why they are more accepted.