I think people arent getting the message from OP. OP is saying the game punish you in a way forcing your character to do something he/she didnt prepare for, especially when engaging main story.
the thalmor mission for example, is impossible for anyone who did not prepare for it. one might think since its part of mq, the stealth part shouldnt be hard. It only turn out the only other way to do the quest is slaughtering every guards on sight, and that simply doesn't make sense in terms of plot, and broke my immersion as well.
for this particular quest, id suggest the game should give player invisibility potion, for a price of course.
now to the Riften part, while yes, the pickpocket part is easy for any character build, but i don't understand why would the mq force you to do a job for thief guild. when i'm RPing a lawful guy, i dont even want to talk to thief guild, let alone stealing for them. and once you accept the quest, by accident or not knowing the consequent, there is no turning back, you cant go train your speech skill and come back hoping to finish the quest the othet way around.
just something to think about before telling OP is playing the game wrong