Is it too much to just suspend your disbelief and believe that your character walked there? After all, that's what immersion is about: suspending your disbelief.
Yes, it is. Because if I forgo the fast travel and go to my chosen destination normally, I'm going to run into trouble. Monsters, hedge wizards, bandits, Daedra, Dragons. When I encounter them, I'll expect to have to fight them, and expend some resources in the process, like potions, poisons, ingredients, and arrows. My equipment's also going to get dinged up as well, which will in turn require me to expend more resources (namely, money) to get it back into shape. But when I fast travel...I don't suffer anything. My life is never at risk, my stuff is all in one piece, and I don't lose anything.
So clearly, we have a discrepancy here; Tamriel is
supposed to be a dangerous place to traverse, and indeed it is
if you walk around it normally. And yet, getting from place to place to place isn't dangerous at all somehow when you use some not-so-magical game mechanic to skip all of that. Fast travel in
Oblivion (and
Fallout 3, AND
New Vegas) is a cheat code, simple as that, one that doesn't require any outside effort on the player's part.
But then if you get yanked out of your fast travel to deal with some stupid wolf out in the wilderness it's just an annoyance that breaks the whole purpose of having the convenience.
I can only ride around Cyrodiil so much before saying 'screw it' and clicking somewhere on the map.
But that's the thing. Traveling on foot all by your lonesome
shouldn't be convenient. It should be fraught with hazards and danger. If we wish to cut out the time and tedium of going back and forth through places, fair enough, but there must always be an inherent cost or risk in doing so. If you want to go from settlement to settlement without incident, then cough up the drakes. Likewise, if you want to go to some remote cave in the middle of nowhere quickly (in real time, not necessarily game time), then you should still deal with the consequence of the local wildlife on the way...and moreover, risk getting in over your head for stumbling into something blindly.