One, Oblivion crisis already happened, they aren't doing anything with it anymore plus it would be more interesting to show like Morrowind, summerset isles, and skyrim because more happened there
Two, the slavery of the Khajiit was more of Argonians, Humans and other Khajiit enslaving and selling them to Morrowind due to the fact that Elsewyr was too far for Dres and Hlaalu slaving parties to get too.
Three, the five year war wasn't really interesting and was pretty pointless, it was mostly a land grab thing done by the Bosmer and the Khajiit kept making mistakes that made them look like idiots i.e. the nords telling them to wear heavy armor.
Also they aren't doing TES games in the past except for the MMO which will take place in the common era.
so because there hasn't really been any really important events taken place there completely leaves it out to becoming a game focused on it entirely?
your logic here would certainly appeal to Skyrim being under the same concept because nothing really happened there either until Bethesda decided to make it the next game.
I was mentioning the Oblivion Crisis because Big event's don't entirely belong to one specific province, TES Oblivion could of taken place in any province if it wanted too.
and Elsweyr won the Five year war, they mentioned that the Heavy armor wasn't suitable for the Khajiit because they couldn't move well in it.
Edit : I'm also not trying to point out that it should take place in the Past, I'm just trying to say that it's not Impossible for something to take place in Elsweyr.