I'll start with a bit of a background story:
Morrowind's:
When you finish the main quest you have to escape Dagoth Ur, due to the fact that the place is collapsing (not really, but well, partially...), you go outside and carry on your adventure, leaving what you did behind you. With great experiences and a feeling of "WOW, at last I've finish the main quest and it was EPIC! I loved it!" something like that...
Oblivion's:
After finishing the main quest some of the Temple District is destroyed permanently. You get a cool looking armor. Like Morrowind's main quest, you think about your past experiences.
My Point:
I HATE IT.
The game SHOULD continue, beyond the main quest and beyond its ending. HOWEVER, it doesn't feel satisfying.
In an -open-world-game- you can't just give us a few treasures and rewards like we get from any other quest when we finish the main quest, you gotta make something worthwhile. Something that will keep our experiences with the main quest memorable. I felt a great lack with Morrowind's and Oblivion's main quest in this aspect. You were kinda just thrown in the world afterwards. You didn't see anything that really CHANGED in the world. After you SAVE THE WORLD and go through fire and hell, through snow and cold, through great distances, when you unite tribes and houses, after you destroy armies of hell's spawns, I would think there'd be a greater impact on the world.
The world should show permanent changes! Scars (even if they are not nice) that suggest -we've done something-, -we changed the world-.
Now, if it wasn't an open-world game then I wouldn't make any complaint. But if it is, then do it right. After finishing the main quest, after going through all the suffering, the battles, the pain, blood and sacrifices, I don't just want to be thrown to the world normally, I want to see that I actually DID something!