I feel little to no incentive to explore in Morrowind for a few reasons:
1) Every section of Morrowind is way too small and the zones change too suddenly to be realistic (ie: you go over a hill and suddenly its a totally different zone with no transition from the old one)
2) It's very hard to find your way around on foot because every part of every zone looks pretty much exactly the same, it necessitates the use of Levitate so you can fly into the air and navigate better, but this makes Levitate feel like more of a crutch than a cool spell
3) I can't add the vast majority of locations in-game to my map
4) The fast travel systems make me feel like exploration is barely necessary, considering my point #3 which means I can't easily go to places I've already been, so the most efficient way to get around is to use a fast travel network and then just beeline towards my objective which i dislike
5) Half of the time I'm exploring I run into named NPCs who try to attack me and I don't know if I'm supposed to kill them or keep them alive for later quests, I feel like if I want to explore i need to keep a Morrowind wiki open so I can make sure I'm not killed any important NPCs who randomly decided to aggro me for whatever reason
With Oblivion it is much more enjoyable for me to get lost in Cyrodiil, because the fast travel system and compass/maps are very useful tools for my exploring. I like to wander around areas I haven't been yet and add all the points of interest to my map, and I hunt them out with the compass so I need both of these features to return (like they did in Fallout 3). Of course I'm taking my time about my exploration and stopping to smell all the roses (and collect every last alchemy ingredient), but my point is that i use the compass as a tool to guide me while I do this. So, overall, I feel Oblivion is more fun to adventure in. Also please understand that I come at this from the perspective of an Oblivion veteran who has recently started playing Morrowind, so I have a different pair of "nostalgia goggles" than most people here. But honesty I think a lot of people confuse "easy to get lost/difficult to navigate" for "better exploration", the sorts of requests i see here would just make Skyrim more tedious to play.