I mostly agree with you. I am also an atheist in reality, so I would normally find this very annoying, but I have come to accept that in most fantasy RPG settings, the gods people believe in truly do exist, and their enemies are not people who do not disbelieve them, but hate them and seek to cause them harm. In Oblivion, praying to a god's altar can heal you, and they can prevent you from even wearing the Crusader's Relics if you are evil, and I see that as a pretty good sign that they are real and are a force of good. What happened to the Ayleids is, at this point, irrelevant. All that matters now is stopping Umaril from destroying the gods, because no matter how bad what happened to him before was, the end of the gods would be worse. All NPCs you can talk to are part of the Cyrodiilic society, in which the gods are revered unquestioningly, so of course none sympathize with Umaril. What does annoy me in Oblivion is that criminals are seen as nonreligious, not that the nonreligious are seen as criminals. Why would any mortal, even a murderer, not feel some allegiance to the gods, knowing that they exist?
Well, even in real life, the people who do/did engage in religious war also genuinely believe in the power of their gods, even if they believe that power is expressed in subtle or even invisible ways, and a lot of people DO believe in faith healing and such, so the motivation isn't actually THAT different, the actual power isn't the issue, it's the belief. (though a lot of religious war here have been nitpicking over details of scripture more than pitting one god against another, but still)
That they can prevent you from wearing the relics is a sign that they are real in the game, and that they value what would generally be considered 'good' action, but it doesn't mean they are always right about what is good, even if their devotees believe thy are unerrant. I think they were wrong about that when it came to the Ayleids.
But yeah. Oblivion is weird in that way with the criminals. They are totally http://tvtropes.org/pmwiki/pmwiki.php/Main/FlatEarthAtheist. And then they had that character, Else God-Hater, who was a totally stereotypical depiction of angry, militant atheists, (except it was god-HATER, not god-disbeliever, but a lot of people don't get the distinction) and of course, she ended up being affiliated with the Mythic Dawn and tries to kill you. But on the other hand, a lot of the Daedra worshippers are perfectly nice, and I like most of the Daedra Lords a lot. Not all of them, it depends on the Daedric Lord of their choice, but Bethesda did clearly try to show that the Nine Divines weren't the sole source of morality. And though it was morally dubious at best, I actually really liked that Daedric quest where you cast the spell on the people trying to convert the daedra worshippers to the 9 Divines, so they could kill the proselytizers. Ok yeah, a rather extreme reaction, but hey, that kind of proselytizing is just plain rude.
My current character is a custom dryad race, next time I WAS going to do a Dark Seducer, but now I'm thinking Ayleid, (there are some books in game that suggest isolated pockets continued to exist) and I will keep Knights installed, but will intentionally snub the quest line. It's not as if I can't get comparably good armor in Mehrunes Razor or through player created mods.I think there is an option to tell that prophet in Anvil you're not interested, even. (though as mentioned, you don't have the choice of truly siding with Umaril, but you can still pretend to tell the guy to take a flying leap) I think i even saw (but didn't download) an alternate start mod that let you live out of an Ayleid ruin.... maybe I should go find that.
as an aside, I am writing a fantasy story where the gods will be presented as essentially powerless, (though stories of great acts in the past, of course) their actual existence will be up to the reader to decide, but the amount of influence they have over the world is basically exactly the same as on Earth... magic totally exists, it's just more.... Force-like, not necessarily tied to the gods, though people of course believe it is a god-given power. Just mentioning because of your comment about gods in fantasy.