Why does there need to be anything like that in Skyrim? If you are talking about the 36 lessons of Vivec, yes, they were very interesting, but they were unique to the world and aesthetic of Morrowind. The history of the Thalmor and the Dragonborne, as well as many other things replace that now, because those things are relevant to whats going on in the current age. Besides, you are only talking about lore. The lore of Morrowind is simply built into the rest of the series as it continues.
When we are talking about depth, it is undeniable that Morrowind offered much, much more of it.
Not only were the characters better realised, they had more to say for themselves.
The history of the Thalmor in Skyrim is written in 4 short, straight-to-the-point books.
The Sermons are still relevant today.