Well, Morrowind had it, Oblivion had it. Fallout 3 lacked, but Fallout New Vegas had two.
Why not?
Morrowind didn't really have an arena, at least not an arena questline, unless you got the mod.
And fallout 3 had an arena-esque thing going on in The Pitt.
hopefully they realized after Morrowind that a lack of Arena is very dissapointing, to people like me who went around the Arena Canton looking for a way to sign up for fights.