I kind of think they don't explain what happened to the dwemer just to make people buy Morrowind just to find out.
That, or Bethesda honestly thinks they're going to do another "discover what happened to the dwemer" quest line a couple more games down the road, when they've got enough new players who never played Morrowind that it would actually surprise a decent chunk of the player-base.
Nope. As stated multiple times, the Dwemer became Numidium's shiny skin. One day the Dwemer just upped and disappeared, leaving free reign for the Falmer.
I've never liked this explanation: it's far too literal of an explanation of what happened.
The Numidium is the vehicle of apotheosis, forged in the heart of the God of Physics, and cast of an entire race's combined souls, designed to transcend the dwemer from their "profane" physical forms back unto the "sacred" forms beyond time.
Saying they turned into the shiny armor of a big robot is far too physical and ignores the metaphysical aspect of what they were trying to accomplish entirely.