By the way, I would argue about the sense of urgency too at the beginning. You're given a package, to give to somebody and you've been told how this is Emperor's orders and very important. After that things get more relaxed, I agree.
With this you're making a lot of sense. But it still wasn't as emotionally urgent to deliver the package because it was obviously just a package. The Amulet of Kings was personally handed to you by the Emperor just before you watched as he was assassinated.
It's just that everybody goes how everything is more open at the very beginning but really, Oblivion is just as open if you ignore the main quest.
"If you ignore the main quest" is the part that makes your position completely ridiculous. Oblivion's introduction is designed to thrust you into the main quest and only the most rare of character types could reasonably justify ignoring the Emperor's last wish that you go find his heir.
Personally, I don't care if we get another emotionally charged introduction, I actually enjoyed that part of the Oblivion story. But we really need a role-playing way to take a pause and explore the world before being shoved all the way to the end of a linear main quest.
The pace of the story in Morrowind was too slow for many people, but the pace in Oblivion was too rushed. Hopefully Skyrim will find the happy middle spot. But if there aren't any points in the story of the main quest where you have a reasonable role-playing reason to do some side quests, then I will consider it a very flawed "open world" game.