Yeah i wonder why they took the feature out.
Maybe they intended to, but never did?
Maybe it is deliberate - so that every character starts off the same?
Maybe they just want people to do the first level of the game again and again?
After all - you are who you play. Skills raised in the tutorial would always count towards leveling. Technically, Morrowind didn't have this feature, only Oblivion did. It didn't even allow you to save until you had finished completely with character creation.