So even if you didn't like Oblivion's Dark Brotherhood questline, (personally I did) I think they did a good job conveying the group's loyalty to Sithis, that they weren't just motivated by profit - they had a real religious devotion (and made a tidy profit on the side). Considering that the Thalmor worship Sithis' opposite in Anu/Ariel, why doesn't anyone in the Brotherhood even mention how bad that Thalmor are? I could be wrong here, but to my knowledge everything in the DB questline was about hiding from the Empire. I mean, if you're entire group is dedicated to Sithis, the force of change who begot Lorhkan, shouldn't they be somewhat upset that the Thalmor, the people who hate Sithis/Lorkan more than anyone, and are seemingly winning?
Then that leads me to my other question - why assassinate Titus Mede when the Empire is literally the last thing standing in the way of your Anu-worshipping enemies?! Seriously, that whole kill the Emperor quest was just "off", and now that I think about it, nothing about the Dark Brotherhood in Skyrim felt real, other than Cicero. I loved Cicero.