I agree to an extent, I wouldn't say Morrowind's story was a thousand times more well-written, but I definitely prefer it to Oblivion's. Regardless, the point is that Mankar Camoran had a very good reason to do everything that he did, just as much as Dagoth Ur, despite what the OP says, and it was fun to find it all out too. I remember my eyes widening in horror as Mankar shouted through the caves "TAMRIEL AE DAEDROTH"
He was certainly wrong and mislead and probably quite insane, but he had a decent reason, he had a great reason. I understand his base idea, but it was fundamentally flawed. Dagoth Ur had his own problems as well.
I think best part about Oblivion's story was what you said. That Tamriel was actually some Daedric realm, and that it was going to be reclaimed and "restored". That was pretty good. But what I disliked the most about Oblivion's story was the Mythic Dawn.
Compare the Sixth House to Mythic Dawn
The Sixth House wins by far of being a cult... it was really awesome. Such atmosphere and feeling to it. Creepy and insane, yet cool at the same time. Mythic Dawn felt kind of bland to me and I never got excited or interested of it. So in all honesty, Mythic Dawn was what I disliked the most about Oblivion and one of the reasons it felt more bland than deep, imo.
Oblivion's story had great potential. The thing about a slowly crumbling empire that is facing one of its greatest threats ever, with hordes of demons spawning through gates of destruction, and the chaos of an emperor's death and the finding of his forgotten heir. It was a great start, but could have been better, I think... Mythic Dawn ruined it for me