It's just their signature/style. Your character starts in a prison. I don't see them changing it. I find it hard to believe that people are actually complaining about it after all these years/games. Never heard anyone complain about it before.
Not in DF; your ship was wrecked in a storm, and barely found a cave to make camp. Waking up on the shore due to bad sailing could be a start, no amnesia required. And since the game is most likely in Skyrim, I could see bad weather being an issue at times. Or you could just be like MW, except without the whole prison ship deal, and you are just some civilian who moved to Skryim or something.
Just anything but prison or jail time, it really is annoying when trying to RP a good character, and sometimes a bad one.
(Sweet, I'm a master now! I feel special)