No one had a "rougher time" lore-wise.
I mean, in Arena, we travelled the WHOLE of Tamriel on an epic quest to save the emporer. No one even knows there is anything wrong.
In Morrowind, the Nerevarine had to endure CORPRUS. Had to battle through the hell infested volcanic Red Mountain region. Had to battle through hordes of deranged monsters and cultists, etc.
I wouldn't say that anyone had it rougher. If anything, perhaps CoC. I mean, where was Dagon when his realm was being weakened by a mortal?
Corpus is a disease, other protagonists are also susceptible to a number of diseases. Volcanic red mountain had adversaries, just like every other protagonist has faced. That was no more or less difficult than what the other heroes have had to go through. The point being made was that from a starting point, the CoC has a much tougher road, being thrust right in the middle of a plot to destroy the mortal world and given very little guidance - find Jauffrey in Weynon Priory and deliver the amulet of kings. Save the heir and go into the Deadlands to close an oblivion gate, it's just a very steep learning/adaptation curve he's got.
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Basically, it's a very traumatic start to his adventures, the other protagonists were more gradually introduced to life as a hero. As far Mehrunes not interfering with you in the Deadlands, could be because the physical part of the realm is merely a construct? The actual Mehrunes Dagon is a personification of a concept, not a physical world.