Morrowind, Oblivion and Skyrim are all titled "The Elder Scrolls ", but Daggerfall and Arena aren't. Why is this?

Because they are bundled in together into the "Past Games" section.

Is Morrowind going to be moved to the "Past Games" section when Skyrim releases?

No, Morrowind still have a strong enough community on it's own to be mixed into others. Not to mention it's still available for sale on Steam and so on.