I have recently seen many screenshots of pre-release morrowind and even some concept art, in my opinion, it looks alot better then what we got. Is there some reason why this is?

The per-release screens you're likely talking about were proof of concept designs. And this was before the game was going to use the Gamebryo engine, iirc.
Those screens were using a different engine.
If Morrowind had kept that engine, the game would have been much smaller and restricted to what we have now.

As for the concept art.... Well, it's concept art.
It's very purpose is to just to inspire and help define the ideas that make it into the final product. Thousands of pages of concept art never make it into a finished product. That is perfectly normal for every medium you can think of.