Though this is only speculation, it seems to me that part of the answer to your question is bolded in red. It would certainly explain why we know so little about the Ancient Nords, Falmer, and the Dwemer of Skyrim despite the fact that 3/4 or so of the game involves dungeon-diving into their ruins.
Also, if you read the lore of Skyrim from previous games, you'll find that A LOT of stuff was cut from TES V, including, but not limited to:
- Isolated alpine villages that are not aware of the existence of the Empire
- Werebears
- Nordic polygamy
- Cannibalism
- The Nordic Pantheon
I also believe that many of the above things were cut out in order to appeal to a larger audience, which unfortunately resulted in Nords almost resembling Hollywood Vikings.
Oh, and to stay on topic, the Skaal only inhabit Solstheim because they are an isolated tribe. Their religion is probably the remnant of a older Atmoran one.