Yes, at least in the main quest, defeating Alduin is a big deal for lore. But you will always defeat Alduin, the main story is designed to be safe and to make sense for any character to want to defeat Alduin. There is no discernible affect on the gameworld after doing so though. It's sort of just the same world to continue exploring and it is that way because of the very nature of the main quest. When you compare it to New Vegas, there is no denying that it would be extremely difficult to make fully realized versions of the world that correspond with each major ending and the smaller individual endings of sidequests. That's the kind of thing I'm talking about. Even the Stormcloak rebellion is so static to the point that you are practically deciding the soldiers you see in different towns. You don't get to see the consequences of a war-torn country, the different ruling styles of each side, etc. It's practically the same world. That's how it feels. In theory you shape Skyrim forever, but you don't get to see how. In reality, it would take a lot of resources to show even two different outcomes of a major civil war (ideally it would be many choices within those outcomes if it was truly fleshed out) and that's why they don't flesh out their storylines. They don't want to have to show meaningful cause and effect. Obsidian did, and that's why the game has highly variant ending slides. They would not be able to do their story justice without them, just like Bethesda couldn't in Skyrim. My point is that if they intend to nix the ending completely, their story will need to be practical to work logically with a gameworld that will hardly change as consequence. Their scope, even if the questline is supposed to be epic and should have huge consequences, will be reduced significantly in favor of allowing the player to have their more meaningless freedom and headcanon. At least, that's what I'm expecting, even if they do better than Skyrim. I'm eager to see what they actually do, though.
As for the Dark Brotherhood, I never played that questline because I jumped ship before having a character who would. I bet I'm missing out on one of the better questlines in the game, but I am skeptical of the tangible consequences of killing the emperor in the game itself.
That's the problem. Bethesda missed the point with those ending slides. They aren't supposed to be like "and so it was that the Lone Wanderer did the thing," they need to be like "because Lone Wanderer did the thing, x happened to x people over x amount of time." New Vegas did that and so did the originals. That's why they exist. As far as Fallout 3 goes, the ending was coy and the slides didn't have any good reason to exist. This is what they should learn.
Best case scenario, there will be a "hard" ending, that actually delves into what happens due to your actions in some detail, and they will give you the option to continue playing afterwards with the caveat that the world may not reflect all of those long term consequences. Because if they actually did, I would applaud Bethesda, but I doubt it'll happen.