I certainly would not mind if the quest markers in Oblivion just led to the front door of the cave/dungeon/etc, and then left finding the actual object in the dungeon for the player. That'd make at least a bit more sense (in that, you or someone else could mark the spot you're heading to on your map, but they can't give detail beyond that).
Just deactivate the quest when you get to the dungeon entrance. Problem solved.
You can't deactivate a quest marker in Oblivion. You can only switch it through different quests.
And if you only have one quest, what then? You can't deactivate it.
Would it really be a good solution to force us to take multiple quests at the same time, and then click on the other one for every single quest, just so that we could play the first quest without any intrusive elements that tells you where to go like, what I would call it, a 10-year old mindless robot?
The problem with compass icons is still there and completely and utterly unoptional.
What you propose is a HORRIBLE "solution", if it's even worth calling a solution. A good game designer would come up with tons of better and more sophisticated ways of allowing both sides of the coin to feel comfortable and fine with such an essential part of the gameplay, instead of forcing one side to apply to the other.
First of all I can't imagine anyone in their right mind would try to go through the Sysyphean exercise of attempting to play Oblivion without acquiring any quests at all.
At some point you get out of the prison sewers and you have a quest.
When you acquire new quests you have to make a conscious choice to make them your "active" quest, the sole and unique purpose of which is to turn on the quest marker for that quest. If you don't want to see it, don't activate it. it doesn't become your active quest automatically.
Are you really suggesting that someone is forcing you to activate all these quests and turn on the quest markers, or that someone is going to try to complete a 300-500 hour game with some kind of OCD obsession for never acquiring a new quest before the old one is completed? That seems technically almost impossible because half the quests you collect you get just from talking to some NPC.