ES games have never really been about this kind of choice though. The series has always been about roaming the open world and seeing the sights, defining your character through their experience rather than their choices.
The problem, if you perceive it as such, is that with Oblivion and onwards, and the move towards more action-RPG mechanics, there is really very little in-game limit as to what the character can and can't do, and the only means of defining that character is through the player enforcing an external handicap on themselves ("I'm role-playing a thief so therefore I won't join the Companions") The game itself offers little scope for developing a character within its own world and framework.
But of course, that's kinda Skyrim's main design objective "go where you want, be who you want to be" -- and also by extension 'at any moment, without restriction'.
Personally I'm with you, but I don't think its necessarily a total 'oversight' on the part of Bethesda that that's how the game works.
I agree with the "go anywhere, be anything" concept, but I shouldn't be able to do those things as easily as we can in the game. In Oblivion, I didn't like the fact that as a fighter I could join the mage guild, and as a mage I could join the fighters guild. I should have the option of joining in both o those instances, but I should have to be tested before membership is given. For example, I could easily fight my way through the mage guild quests with my sword, I didn't have to cast a single spell.
I'm not a mage in Skyrim, and I only visited the Winterhold college because my ranger dabbles in the healing arts of restoration. I liked the fact that you had to summon a flame atronarch to even get access to the college, so it seems like its more promising. I haven't gone through the quest line though.
On the same account, a mage should be able to join the Companions. But the mage will need to fight (think mage with a knack for swords). A level 5 pure fighter should be able to have enough fighting prowess to be a successful companion, but a mage might have to be 10 or so levels higher because they are focusing on magic, the swordplay is secondary skill that levels slower.