None of the games in TESV would be incomplete, each would be a full game. Imagine that Morrowind is the secong game in the series and Oblivion is the third: In order to defeat Mehrunes Dagon, you must first become Nerevar, thus, Morrowind has it's own MQ, but it is also necessary to complete Oblivion. Perhaps they could even design it so that your character could visit all the places in the prevous games.
I'm not saying that I think this is the best method, only that it does have some merit and is something to think about.
There's absolutely nothing wrong with the idea, if you want the game to be more linear than oblivion. By doing this you are blocking a great deal of what made TES, well TES! Role-playing and background creation, basically you are saying that your identity at the beginning of the game is defined, your goal is defined, you already made up your mind on what your character is like. In case you didn't catch my drift, this is not good. It just isn't TES, most people want TES to be (in terms of story progression and beginning mind you) to be like Daggerfall, the beginning was amazing, the manual on it's own was jaw-dropping. Not to sound pessimistic or anything, but what you're suggesting this whole progression idea, it just isn't TES