Actually, the Thalmor/Alinor pantheon does not include Arkay.
Also, the reason for banning Talos worship isn't because it's immoral to worship a man. They're doing it because by removing Talos from the record books and by causing no one to believe in Talos, it will unmake him. Since Talos mantled Lorkhan, it will unmake Lorkhan. This will unmake humans and pave the way for the rest of the surviving mortals to transcend their existence and become gods.
(Not to mention that the whole "Arkay was once a mortal" thing is a bit sketchy and the details of the alleged ascension are unclear. Personally, it's hard to imagine the god of the cycle of life and death was ever a mortal. It's kind of a Catch 22 situation.)