Back in the 3rd era, Morrowind was definitely part of the Empire. Now, in 4E200, Morrowind is implicitly part of the Empire as far as The Great War is concerned (it is not mentioned in the list of lost provinces), but I'm not sure if it is a functional province (cities, imperial oversight, economy, etc.) or just a chunk of land that they claim to own.
Well, when you ask around in Windhelm - the Dunmer, naturally - you can ask one of them if he ever thought of returning to Morrowind. He says there isn't a day where he "doesn't long to return to his ancestral homeland, but that he has ties in Windhelm."
I suppose this gives us a (thankfully) brighter clue on the fate of Morrowind. Always was the favourite province, would hate to see it completely gone.
Also, has there EVER been ANY mention of the fates of Helseth and Barenziah? I can understand if Barenziah is dead, she was already well over five hundred, but what of our delicious king?