And you would have to wonder why he is almost constanly going to jail
Clearly because the player is a kleptomaniac.
However, it would raise some questions about why you have to constantly re-earn your skills, climb to the top of all the guilds, meddle with daedric princes, etc. all over again every game. That would put the PC in the same category as Link or Megaman, losing all their superpowers and having to start all over again from scratch.
Actually, maybe that's why they are in prison - you lose all your skills back down to basics in there. Maybe it's all a curse of Nocturnal thing - you lose the ability for anyone to recognize who you are, and what you did, and she steals away all your nifty stuff, and leaves you in prison for a solid year until your godmode powers are rusty again.