Nah, it does make sense. It's known that the Dwemer invented gunpowder, we even used their explosives in Morrowind. The question is, why are there none in the 3rd and 4th Era? Why was the technology abandoned?
For the same reasons we forgot how to make Concrete for several hundred years, and hydraulic cement (that can cure underwater) for even longer. If the society that creates or keeps the knowledge is destroyed, the knowledge is usually forgotten or lost to the ages. The Egyptians knew of this material, but it's use stopped when that society fell. The Romans had to rediscover it, and so did we.
Just imagine what we would know today if the Libraries of Alexandria were not burned down.