You know what makes the most sense to me? Is that it was a trailer for a video game and they thought the shot of a dude standing there looking like a badass with dragon flames all around him would look cool.
Indeeed, I doubt the trailer will be immune to dragon fire, certainly, I'm sure you can get resistences to fire, but I doubt you'll be immune to it by default. In the end, the scene is just designed to look epic, and I suspect that for the sake of the trailer, Bethesda gave the character godmode, they wouldn't want their shots being ruined by the player character dying when they don't want to show that, after all.
True, of course it would also have looked cool it there had been a pile of smoldering ash left behind
No, not really. It doesn't really work that well for you're trailer if it shows the supposed chosen hero dying half way through out, generally speaking. Besides, the remaining scenes of dragon fighting couldn't work if that happened.