I actually felt the whole Helgen sequence was going out of its way to grey up both sides. The opening cart ride sides you very strongly with the stormcloaks, then you have Tulius claiming that Ulfric started the war and the empire is restoring the peace. Ralof is your 'brother in binds' and rushes to save you from the headsman, but then the stormcloaks flee to save themselves and Hadvar is rushing to the defense of the city. I get the sense they were intentionally giving the players reason to find either side supportable right from the get go.