How do you know that some merchants don't use amulets of mark and recall to move items? How do merchants restock thier inventories instantly?
Mark and recall in the game can only teleport a person and the items that person is carrying back to a specifically marked spot. I am not sure how well this represents how it works in lore, but I could certainly imagine it's something like that too.
Guild guides possibly use a form of teleportation magic the player can't use, I don't think it's ever explained exactly what spell they use. In any case, I don't doubt that
If you teleported everywhere (Oblivion, anyone...) it would become redundant, even outside of game-play. Instead of reading about adventurers crossing deadly landscapes on foot, facing the harshness of nature, it would be "and average-joe then took a small trip to the local Teleportation shop..."
You can't teleport anywhere in Oblivion, your character presumably walks, rides, or runs everywhere, the process just isn't shown when you fast travel much as how many movies will skip some redundant or boring parts with no relevance to the plot that no one wants to see. And you can't fast travel just anywhere, you can only go to places you've already visited, or major cities, which your character presumably has visited before going to prison, and are generally connected by roads, which would generally be relatively safe and straightforward traveling, so you still get the traveling across deadly landscapes, or you would if Oblivion HAD many deadly landscape to speak of.
That being said, though, it is true that it would be rather boring if people could just teleport anywhere, imagine how you would feel if you read a fantasy book and there was no long journey involved or anything else, some old wizard just teleported the heroes to the evil fortress where the villain resides or the mysterious dungeon of mysteries where the Sword of McGuffin the Godslayer is hidden, it sounds kind of boring, doesn't it?
However, just because something is entertaining for audiences doesn't mean it makes sense in the story, and because of this, the best works of fantasy usually need to make up rules and explanations to explain why magic doesn't afford the characters all the conveniences a force that appears to be able to do whatever the plot requires it might offer.