Agreed. It's just something to make the world more believable and lived in. When your character is a race that an NPC or something is supposed to despise, and they just say, "I don't care for you" or something absurdly tame that has no effect on the game whatsoever it just feels pointless and neutered. I don't know much about the lore, but I imagine there's some pretty heavy racism considering the differences.
There is no fine line that needs to be walked
I'm honestly not sure Beth could tow it to be honest. They did in Morrowind, but something ... happened after Morrowind. Their writing lacks any hint of subtlety in Oblivion / Fallout 3.
What I hope for in a Khajit PC getting a quest from a xenophobic shopkeep:
I am racist against x race, which you are. This is woven into greeting dialogue / other dialogue, not explicitly stated.
*player asks for quest, NPC answers in condescending tone* You want to make some money huh? You can start by asking elsewhere. I don't need any help.
What Bethesda will be capable of writing:
BUY SOMETHING OR GET OUT OF MY STORE KITTY!
*player asks for quest* HERE'S MY LIFE STORY. I AM USING THE SAME DIALOGUE AND TONE AS I USE WITH OTHER NORDS. PLEASE GUARD MY SHOP TONIGHT. HERE'S THE KEY. DONT STEAL ANYTHING PLZ.
COOL YOU DID IT, HERE IS STANDARD QUEST REWARD. MY HERO!
In the ideal situation, while the player misses out on that quest (which can only be done by Imperials, Nords, Bretons, and Redguard), they will be able to do quests for a group of Khajit tribals in the mountains (think MW Ashlanders), which other races can't do.