The Dunmer of Morrowind seem to think otherwise!
Find me a Morrowind Dunmer NPC that's oppressed by the Empire.
It's a bit like the European Union and the United Kingdom. Many Britons don't like the EU because it's foreign and impersonal and it somewhat limits what their government can do, so there's the whole issues of national sovereignty and patriotism going on. But objectively speaking, it's not oppressive. Forcing reforms in the way a country is governed is not oppressive for the common people unless the reforms themselves are oppressive. "Waaah!!! Waaaah!!! I'm being repressed: He's forcing me to be free!" does not count.
Simply put, the Dunmer don't like the Empire because they're proud and more than a little xenophobic. The Empire is
not Dunmer, so they resent it for reasons that have nothing to do with personal rights and freedoms and everything to do with nationalism (in all of its meanings, the good and the bad).
On the human rights front, you could say it infringes on the right of people to self-determination, because the Dunmer did not exactly get a referendum on the subject. But still, the annexation of Morrowind was peaceful, organized by Vivec before any conflict started between the Septim Empire and Morrowind. So, they have less reasons to complain than, say, the Redguards, the Altmer, the Bretons, the Bosmer, the Khajiit...