Some pretty atmospheric concept artwork of a city in the middle of a storm can be seen in the Art of Skyrim video, with things like a wet sheen to rocky surfaces and hazy "coronas" around lanterns. I think Bethesda's putting just as much effort into rain as they are with snow.
Just because it's shown in the concept art doesn't mean it will be reflected in the game. If we were talking about visual design, like the architectural style of the buildings in the city, then we might be able to read something from the concept art, but rain falling through objects is not a conscious design choice, obviously, Bethesda does not say "It would look cool for rain to fall through things, let's do that." it's a technical issue, and there really is no reason why Bethesda would draw it into their concept art, therefore, the concept art doesn't tell us much in this regard. Still, I'd think they'd fix this by now, and would be VERY dissappointed if they fail to do so. It just looks stupid and there's really no excuse to have it in modern games, especially not when the developers claim they're doing something really revolutionary with certain weather conditions, dynamic snow sounds impressive, but if in an effort to implement it Bethesda neglects something as basic as this, then I won't be impressed.