At the risk of being yelled at for bringing up New Vegas again, I'd like to draw a parallel.
The DLCs for New Vegas tell a story. Won't spoil it, but basically picture Dovahkiin vs. Miraak, but instead of Miraak just suddenly appearing in a DLC and being like "BTW I EXIST LOL," his existence is mentioned, foreshadowed and alluded to throughout the base game and the other DLCs. Finally, in the last DLC for New Vegas, Lonesome Road, the player confronts their Miraak and settles things once and for all.
Picture New Vegas if the other three DLCs existed, but Lonesome Road did not. It'd leave the Courier never confronting Ulysses while having a feeling of NEEDING to confront him, and the ending would be "And then the Courier maybe possibly Iunno confronted Ulysses someday. The End."
That's exactly what this is. You have a feeling that you NEED to overcome the Thalmor still and NEED to break free of Mora, but you don't actually get it done within gameplay. It's "And then Dovahkiin was probably Mora's [censored], and maybe possibly Iunno Skyrim repelled the Thalmor....maybe. THE END."
And that is one of Skyrim's main failings: Antagonists. Be it Alduin or Miraak, the main antagonists are never treated as
characters, only as obstacles. You could literally have boulders with angry eyebrows drawn on them and it would accomplish pretty much the same thing. We know very little about them throughout the game, and somehow come out of the story knowing even less about them because of how little is done in regards to character development. They barely appear throughout the storyline, and when they do they don't really interact with the player in any sort of meaningful way. They just seem to pop up to remind you that they exist and nothing more. Each new encounter does not leave you eager to finally find them in a final battle, nor does it make you dread having to eventually face them in that last battle.