The "local map" behaves that way; the "world map" kind of behaves that way in that map markers are added to it, but there's no "fog of war" effect. No idea if it's even possible to change that...
I'm looking for a map mod that functions like Morrowind's in how the map updates as you explore to show where you have been.
You can always ask TheNiceOne about how to update a map similar to Morrowind in the http://www.gamesas.com/index.php?/topic/1247910-relz-map-marker-overhaul/ and he would know if that's even possible.