Are there any lore described creatures that never got implemented ingame?

Yep, and I'm trying to remember which Aedric ones...

There's a whole horde of Daedra that are mentioned in novels and other sources that we never see in game. Well, if the denizens of Umbriel are Daedric, I forget...

But yes, the games only scratch the surface of Tamriel.

EDIT: Oh, yeah, now I remember something. All the sub-races of Khajiit. Mammoth-sized cats and gorilla-lions. I'd love to see those.

Many creatures in Valenwood are AWOL. Imga, for instance.

We haven't seen Centaurs since Daggerfall.

Rootworms.

The Swamp Leviathan.

The books describe many creatures which we've never seen before.

Air Atronachs were mentioned in Daggerfall but never implemented.

Several types of werewolf have been mentioned but remain unseen.

Several types of aquatic creatures have likewise not been represented (alive, at least), such as whales.

I would really like to see a living Emperor Crab.

May have appeared in Bloodmoon, but there are no Grahl in Skyrim. Werebears at least managed to make an appearance, albeit only in Solstheim.

IIRC, ES:O seems to have been bringing back a few Daggerfall/Arena creatures here and there, so there's that. Actually, the one thing that hasn't made an appearance since Redguard is the Gremlin, despite supposedly being close kin with the Goblins.

The wooly, centipede-like herd beasts of the mountain Orc tribes. Would have been cool to see them in Skyrim.