I thought accomplished all that in the second era
He did a lot during both. But yeah, the stuff in skyrim was after he was a boy (I've forgotten his Atmoran childhood name), but while he was still Talos Stormcrown, before he became Emperor and Tiber Septim (which was, of course, the first event of the third era).
The Dreamstride in general fascinates me. Vaermina hasn't really had a tremendous amount of lore given in the past, so that quest was a nice tidbit on an otherwise inscrutable daedra. If it does stand to return in later games/DLC, it could serve as a fantastic storytelling device; Without taking control out of the player's hands entirely, it lets a story be told richly in the first person, sort of like a railroaded interactive movie game but without the annoying fluff that pretends to be an actual game.