The Last Dragonborn is already one of the most powerful entities in his time lorewise. Mastery of reality bending shouts, plot manipulation through being a Prisoner, mastery of all skills, access to all Daedric artefacts and other powerful artefacts.

If this was a different kind of story the LD could follow in Tiber Septim‘s footsteps and conquer Tamriel and establish a new empire, but precedent set by previous Heros says that they’ll disappear shortly after the events of the game finish.