Maybe KoTN had info on the Aedra but we do know what happened to the Dwemer.
We know what happened, sort of, but we don't know why. We know exactly what happened to the Ayleids, and why.
Indeed, but there still could've been more.
There was nothing else to learn besides the dates, names, and exact places of specific events. We have an excellent general description of what happened from many different sources.
The Shivering Isles is not Oblivion, it is a completely separate realm.
It is a realm of Oblivion. Anything you saw in Shivering Isles was entirely new lore that we didn't have in Morrowind, and I'd say that both the Shivering Isles and the realm of Mehrunes Dagon were massive contributions, even if one was largely visual.
Anyway though, we should have a whole lot more on the Mythic Dawn than just Jearl's orders and the Commentaries. I mean, look at all you could learn about the 6th House in MW.
Considering the Mythic Dawn are one of the most secret Daedric cults and that even scholars at the Arcane University do not know whether or not Mankar Camoran is the leader, I'm amazed we actually had that. Remember that even someone who wants to join them, that Bosmer you speak to as part of the main quest, don't know that much about them, and he'd probably been doing a lot of research. But if you want more, there's a small amount of speech, from the guy who helps you in Paradise, and from Mankar's children.
Oblivion explains practically nothing, so yes, there are some tidbits of backstory that require searching, but plenty of it is just unexplored, half-told stories, so don't confuse it with some narrative style.
Sometimes the stories aren't even told, and there's nothing said in-game besides a few bits of dialogue from random characters. But there's a visual contribution, which can be put together with what else we hear in the game. Take the Renrijra Krin as an example: does the settlement of Border Watch look as if it was taken peacefully, and from what Alessia Caro and the citizens of Leyawiin say does it sound as if the Imperials are winning? Two bits of information there. Add it to the presence of skooma in Leyawiin and Bravil, consider who sells skooma and what quests the player goes on to deal with skooma dealers, etc. If you put it together you can build a good picture of what the Renrijra Krin does and how it works.