Picking that up prematurely can lead to a bug.
That and one dungeon for the Fighters Guild questline are the only two I could think of where you can mess up a questline.
In this game quests and questlines are protected from breaking by essential NPCs, places that need a key to enter, or something similar.
So from a quest perspective it's pretty safe to dungeon dive in TES IV: Oblivion.
Also to note, the bug isn't game ending, it just makes a later quest more physically challenging to complete. Also, in Morrowind you could break the quest by accidentaly picking up and losing an important, unique item. Oblivion fixes this in another way in that there are very few unique artifacts to find, making most dungeons very similar to each other and, IMO, not as much fun to explore. In oblivion your just going to find leveled loot, normal items, you'll rarely find a unique named or unique appearance item, with the exception of randomly enchanted generics.