In Oblivion you constantly hear the beggars asking for "a coin for a poor war veteran" but what war was that? In the 40 year span from Arena to Oblivion, there doesn't seem to be a war taking place, and I don't remember hearing about a war that happened shortly before then.

And on an unrelated note, why is the economy so weird? You can hear some NPCs saying things like "5 Gold! That's more than I make in a year!" Where as a loaf of bread and a drink will cost roughly 3 - 8 (rough estimate) gold and will not last a person a year. Now I know that some jobs pay with food and drink (as we learn when we become a slop drudge) but there's still plenty of other things that a person would need to buy that are not provided and cost close to their "year's pay."

There were several wars during the reign of Uriel Septim VII, especially during the Imperial Simulacrum. For example, there was the War of Bend'r-Mahk, The Arnesian war, and the Five Year War.
Game mechanics. The economy in the games is balanced towards the player, not to the lore.