Of course the Splash screens are more detailed, they are static 2D images. Each element does not have to be rendered and shadowed frame by frame in the game. They can put more detail in a static 2D image than an image that has to be animated and rendered for 3D.
It has been this way since Morrowind. Heck, I did not know Ogrims had pierced nipbles until I saw them on a loading screen in Morrowind as they barely rendered in the game.
It has been this way since long before Morrowind. Static 2D images have been easier to render in detail than 3D models ever since the advent of 3D models! For the Skyrim loading screens, Bethesda would have been able to take their game engine, crank all its detail settings to the max (far more detailed than any of the release game's settings), and spend as much time as necessary to achieve the perfect image. In a free-roaming RPG like Skyrim, the game engine has to create each frame of video data on the fly, since there is no way for that game engine to predict where your player-following camera is going to be located, what direction it will be facing, etc. It has to be able to render the correct perspective/lighting/shading and textural detail of every 3D object in the camera's field of view, according to the location and direction of the camera, and it has to be able to recalculate and refresh this image at incredibly short intervals. Up to several hundred frames per second if you consider a high end system hooked to a 240hertz HDTV... Were you to configure the game engine to render everything at the loading screen quality, you would rapidly find that NONE of our gaming rigs would be up to the task of managing the astronomical processing loads... Hence, the need to reduce the overall quality of the in-game rendering to somethingthat most of our computer can handle...