Oh right I misunderstood your post. I thought you meant an option to turn a perma-end on or off, not a separate option in the quest itself. Still though, people could unwittingly choose that path and their character is doomed. Not sure how there could be an in game warning about it without spoiling it.
It wouldn't be to hard. For Oblivion, once you escort Martin into the temple and you've seen him go through the door, just add another trigger to start the final battle scene. The first trigger is going in and talking to Martin. The second would be you turning around to fight off Dagon. Fight goes on, Dagon eventually wtf owns you, and as you're on the ground bleeding out and no longer able to move you see a golden dragon erupt from the Temple of the One. Then the ending scene plays saying that the world was saved because of your actions along with Martins, then it takes you to the main menu.
No harm done to those who wish to continue after the main quest, and only those who know about such a feature would be able to make use of it. Albeit that their may be a few players who wouldn't know about such a things existance, but stumbling on it would be interesting. And if they happened upon it, they could just reload that character's last save and continue on into the Temple, right?