Question in the title

In oblivion it was optimal to get +5 endurance every level in the first levels until it was maxed out because health gain was proportional to current health. Anyone know how it will work in Skyrim? This would greatly affect on how people build their characters in the beginning.

It will not. You are directly increasing your health this time around, not the stats that raise health.

There's no gain per level to my knowledge, it only gains if you select it.

Well the only stats are health, magicka, and stamina... so I don't think you'll have any issues like those in oblivion.