As I've said many times, we can't join the Thalmor for the same reasons that we couldn't join the Sixth House and the Mythic Dawn. They're the bad guys. They want to destroy the world. The player character inevitably succeeds in the end, and we can't quite have the Thalmor winning.
who says the quest can't ultimately fail. say the final quest is to take of X stronghold and you get there and you're locked in by archers, or they're just to powerful. you're quest changes to retreat and the quest line finally ends with stand your ground, and thats how it ends. now i say this not knowing how much impact the thalmor have in the main quest as i haven't finished it. i agree with you about the mythic dawn though, i can't see how a quest could have been implemented in oblivion
back to the OP i would like to join the vigilants of stendarr. i sense a big lack of daedra in this game (maybe because oblivion had such a high amount). i want to go daedra hunting