Both Morrowind and Oblivion's main quests had their issues for sure. For me now, Morrowind failed in giving me a reason to care. The novalty of possibly being the reincarnation of a long dead hero wore off pretty quickly, its been done before. Being the reincarnation of a bad guy would have been more intresting. But at any rate, it wasn't perfect.
Oblivion gave the feeling of urgency, but it was almost overwelming. There really wasn't any point in taking the time to do other Gates, because if you stuck with the main quest there really wasn't a break in the action to allot the time to do that. Some different ways of wording could easy off the presure between quests, allowing for a more open feel.
Placing Jaufre in the boonies, having only those at Weinon Priory know where he is, only telling the player that Jaufre is an old blade and only old blades know where he would be, and have a rumor about a possible Blades meeting with even the retired blades going on over at the Priory after 2 ingame weeks would allow for the beginning to feel open to the player. Kavatch could probably also gain some extra merrit if at least some releaf effort was seen after the town was obliterated...
And at parts such as right before the portal to Paradice opened, having Martin say that he'll be completely ready after a while and the player should go and do other things and that he'd send a mesanger when he is ready would allow for openness. Martin would just keep going about is business, and after two or three ingame days the ability to continue the quest would open up but Martin would only look as if he were just about to send a messanger to find the player once he shows up to check out whats up.
Writing like that, which is time sensative, can allow for a linear story with urgentness to have nice clean unjarring gaps in it and still give that sense of danger and a need to hurry without that need being constant or falsly implied.