Oblivion was originally released for the PC and XBox 360, and was only later ported to the PS3. I do not know why they never released the DLC (other than KotN) for the PS3 but I'd speculate it's a combination of two factors: One, I believe Bethesda mentioned problems releasing Shivering Isles as a stand alone product, which is why it was only available in the GOTY edition. Presumably these problems would have also affected the DLC. Two, it's possible Bethesda was having difficulty getting all of the DLC to work properly along with Shivering Isles, and since they couldn't get it all to work they opted to go with the full expansion and the single large DLC (KotN) rather than all of the smaller DLC. It is possible that Microsoft had an exclusivity deal but I think that's unlikely given how much later the PS3 version was and the fact that the PS3 got the two largest additions.
Looking in to the future . . . well then I don't think TES IV is what you should be looking at. TES IV for the PS3 came out much later than for the XBox 360 and the PC, a delay I don't think we'll see in future games (and didn't see in FO3). The TES IV port was also handled by 4J Studios but now Bethesda does PS3 developement in house. Even the preferred size and structure of DLC has changed, almost every TES IV addition was a small DLC or its full expansion and Bethesda has since said they're not thrilled with either format.
The situation with FO3 may not be a better example either however. The DLC release for FO3 on the PS3 was overshadowed by the problems Bethesda had getting them all to run well, which delayed them substantially. Even with all of this extra time spent on them some people have problems getting them to work, particularly when using characters that do quite a lot individually (a problem that the original game seemed to have but it was harder to get to that point). I suppose it's possible that Bethesda's next game will have similar problems for the PS3 but hopefully not.
If you look at Bethesda's past few games their commitment to the playstation has been steadily growing. TES III wasn't released on the PS2 at all; Oblivion was ported by another company, released later, and didn't get the smaller DLC; Fallout 3 was developed for the PS3 in house, the basic original game wasn't released after the PC and XBox 360 version, all of the DLC were released (although with a significant delay), and Bethesda made greater use of the PSN. Hopefully this trend will continue