We did learn a little about the Ayleids but we don't know the cause of their disappearance
We actually learned quite a lot from Umbacano and other Ayleid researchers (an Imperial woman is one of them, I think, and I think she's the one you get an Ayleid crown from), and a lot about the Ayleid language, as well. We learned about the divided Ayleid society and what an Ayleid king actually was, and also something about the rivalries and political intrigue between the different cities.
They disappeared because many of them were absorbed into Imperial culture, destroyed by some Imperial cult (that's the Ayleid ruin in the Valus Mountains, but I forget what it's called; an in-game book goes into more detail), or fled to Valenwood. The book Last King of the Ayleids has a lot of lore about this, and explains that the Ayleids didn't disappear, but rather continued to rule as vassals of the Alessians for centuries after the rebellion.
we don't know more about the realm of Oblivion
Whatever you see of Mehrunes Dagon's realm and the Shivering Isles is what we know about Oblivion that we didn't know in Morrowind.
we don't know much more about the Aedra unlike Morrowind where we know what happened to the dwarfs
I'm sure that the Knights of the Nine questline had a lot to say about the Aedra, although I'm not sure. But we don't know what happened to the Dwemer.
we learned tons about the Tribunal, we learned a lot about the Sixth House (We only learned a little about the Mythic Dawn)
We can't learn much about the Tribunal now that it has collapsed (which is another important part of TES lore that Oblivion gave us). And people who say we don't know anything about the Mythic Dawn have not read the Commentaries, or Jearl's orders. We can guess at who does what in the Mythic Dawn, how they assist Dagon, and their ranks.
we learned more about the Dunmer (We learned nothing about the Imperials in Oblivion)
Read the Trials of St Alessia, Remanada, and other in-game books that tell you a lot about the Imperials. Or just walk around and talk to people.
and we learned more about the politics there. (We learned that Cyrodil has no politics in Oblivion)
The nobility were united by a common threat, so there could be no feuds. But we know that Leyawiin is left to defend itself from talking to citizens after you close the Oblivion gate outside the city, and we know what the nobility think of each other and why. We learned much the same in Morrowind. The difference is that we couldn't interfere in politics this time.