To each his own, but I don't see how the world being a sludge of monochromatic gray is more exciting than allowing the player to feel heroic.
The Civil War is an example of this. I haven't completed either questline, but it became clear very quickly that the writers wanted me to realize that neither side was right, and whichever one I picked they'd make me feel like a jerk. (I'd tend to side with the Empire, actually, but the writers clearly piled on some disincentives to do that, what with the torturers and underhandedness.)
To get back to the OP, the Daedric quests are (often) similar in this regard. Now, I thoroughly like how the Daedra in Skyrim are actually intimidating, creepy, and mischievous. That said, the game seems designed overall to support a "dark" character rather than an "honorable" one.
I'm also seeing the kind of questlines that I hated in Oblivion: the ones where you'd stumble upon someone in trouble, but get there too late, so your only remaining task was too avenge the villain. Too little too late, hero! Thanks, devs!
Black-and-white is just as monochromatic as grey, and there's less variation.
The Civil War is a questline which encourages the player to think carefully about which side they join. Although neither side is 'pure', they're also not the same. Tulius and Ulfric have different goals, morals and prejudices and it's up to the player to decide who they want to support - or whether they want to ignore the questline altogether.
Conversely, the Main Quest is much more black-and-white. The deadly and cruel World-Eater has arisen and is threatening the world, which the player must save. There's only one aspect of the MQ which is remotely grey, that being the Blade's desire to kill Paarthurnax, and since it's not a requirement to continue, you can happily opt out of doing that.
There are a few quests which involve saving someone in trouble, or helping them to restore their honour in some way. Vaermina's quest is a good example for the latter and the quest where you acquire the Pale Blade triggers when you save someone. The Companions have a repeatable quest where you rescue a random person from a random area too.
There's quite a lot for a noble character to acomplish in Skyrim, but if everything was a dichotomy of good vs. evil, there'd be nothing for the majority of players to do. Everyone is different and most of us have different morals; an acceptable sacrifice for one person is a monsterous act for another. Populating Skyrim with a wide variety of people and beliefs helps the province feel more realistic, more immersive and more importantly, it gives a wider variety of players something to invest in.
As an aside: I would like to see more Divine questlines. Dibella and Mara have benevolent tasks for the player to acomplish. Kyne/Kynareth has two... but the other Five (Six), don't offer up anything. The Daedric Princes have a more direct influence, lore-wise, but more Divine quests would really help flesh out the religion and the world within the game. Magnus and Ebonarm might be able to have a more direct presence too.