It's just as the games that came before them. It's not a direct sequel, but the events of Oblivion (and all preceding games) determine how and why things are the way they are right now. Going by Alduin's Wall, the Oblivion Crisis was an essential step leading to the attack by Alduin that is the plot of Skyrim.
By knowing Oblivion, you'll get the benefit of better understanding the story, but if you haven't played a TES game before, you can easily understand what's going on without feeling like you're missing any essential parts of the story. It's the beauty of TES design.
Tradition that started with Morrowind. Thats just how bethesda does it now, You start in Jail with no backstory or anything so you can create it for yourself.
The first game that did it was Arena. Then Daggerfall didn't do it, then Morrowind did and, so far, have all that followed.