Really? I'm quite the opposite. I feel that OB was strongly urging me to hurry up and do the main quest, while in Morrowind you are left with a package to deliver, and when you deliver you are told to do your thing and come back later. I like that, it feels more laid back and less "have-to-do-this" to me. :shrug:
I think the main point is that, in both games, the fate of the world waits around to see what you do next.
The first time I became Nerevarine, I was like,"whaaaa... coooool."
The second and third time, I was like, "whatever, Azura, gimme my nighteye."
A more personal story for your character would be ok, but for the big world events, here's what I'd like to see:
Each major event, like the battles and seiges and assassinations happen at timed increments, whether you're there or not.
You may be involved in certain events in different ways if your guild gets hired to handle it or if you have made a certain friend over the course of the game who asks for your help. Sometimes, the thing happens while you're in a dungeon on the other side of the map and you only hear about it later.
Maybe you return to a city after finishing a side quest to find that city in ruins. Maybe, with your second character, you happen to be in that city when it's attacked and you help evacuate the citizens. Your third character is part of some knightly order, who is ordered to destroy that city. Your fourth character is in the thieves guild, and is hired to steal a valuable scepter from the palace of that city during the commotion.
If this is done right, each character you make could play a drastically different role in the "main story" of the province, with minimal scripting.
An event could simply be along the lines of "faction a attacks faction b and wins" and who your character happens to be will determine if that event affects you and how.