I just did the infiltration of the Thalmor embassy tonight for the first time. I just have to say, there's nothing quite as satisfying as beheading a Thalmor, especially after they call me a "pathetic human" or "filthy barbarian". I hate those guys.
I'm 100% sure that Bethesda designed it that way to throw a monkey wrench in deciding which side to choose for the civil war stuff.