Thinking about roleplay, I realized that when I played oblivion I didn't do any roleplay. Well, I did play the role assigned by the game, but pretty much all I did in the game was looking for quests and do the quests. Not that I'm lack of the ability to roleplay, though. When I played Diablo 2 back then, I actually roleplayed a lover of the mercenary I hired, and I gave her good equipments, took care of her and never hired another mercenary. Well I think that was because there's simply no other content restricting me in diablo 2, all you do is killing monsters and the backstory didn't really matter.

The problem with TES is that everything is so defined and fleshed out and leave no room for my own creation, even though the game is intended to be sandbox style - I just didn't feel it was sandbox, more like a FPS with freedom and lots of dialogue.

Or did I miss something here?

Depends on what you like to do. For me i Roleplayed a Nord Salesman i would go from town to town selling and buying.
I would also hunt for meat and other stuff such as flowers for potions and whatnot and i would sell them to stores pretending i owned my own company i use the mansion in Anvil as my base of operations.. I did beat the story but only on my second playthrough as a Redguard.