For example

Cant change difficulty
Cant use certain skills such as enchanting (well the skills dont level up)
No quest markers
No fast travel etc

I personally think it would be more fun, more challenging if at the start of the game, before the wagon cutscene, we set preferences, and none of them can be changed, you have to make a new game otherwise.

At the moment, if somethings too hard, I just change difficulty, then change it back. And I fast travel all the time. But I cant help it. The option is there for me, so I, in a sense, exploit the game.

I think it would become rather frustrating than challenging.

Personally, I think that sounds too agrivating, and would take up some dev time that could be spent on different things.

Its just a case of you having to train yourself not to do these things.

My next run through I'm doing this.

No fast travel, no quest markers, no cheese levelling. But ill have to be good....