They aren't going to make whole new meshes and skeletons and things like that just for one ghost character in a side quest.
Yeah, because they didn't do that before *cough*Yagrum*cough*Udefrykte*cough*Karstaag*cough*Gatekeeper.
It's not even like it was "just a side quest". It was a part of the main quest. Yagrum was just as important in Morrowind's main quest. The Uderfrykte WAS "just a side quest". Karstaag wasn't important in the slightest. He had no real reason to actually be there, but they added him anyway. The Gatekeeper was only a small quest before the main quest was properly in flow. There are actually even more examples, but I'll not get into them.
I put it down to the fact that they didn't want to ruin the mystery of Akavir. Or the more pessimistic view: laziness of vanilla Oblivion.