Aside from the oblivion gates, Oblivion is simply a midevil RPG, and Skyrim has dragons. The worlds were made based off actual biomes, so i see nothing that sets Oblivion above Skyrim in terms of "epicness".
Probably the only difference is Skyrim has better designed landscaping, which allows it to connect to home easier.
Fist off I think that Bethesda did a good job and I think that they portrayed the type of fantasy they were looking to do.
However Epic Fantasy refers to a genre of fantasy where magic is dominate and it is widely populated with magical creatures, which is kind of the feeling both Morrowind and Oblivion gave us. Now Skyrim does have magical creatures, a fact we already both agreed on.
However it doesn't have this sense that magic drives everything such as a Dragon Lance book conveys. It is more of a world that lacks magic, where people that use it are far and few between, and you really don't see any magic influncing nature, such as floating land masses. It tries to be a dark gritty game, in area that has little magical influence, much like a Robert E. Howard book is written. To me I would call it "Gritty Fantasy", now I don't think that is really a fantasy genre, but this game in no way reminds me of a Everquest, or Dungeons and Dragons game.
Ill put it like this. Oblivion reminded me of Dragon Lance, of DnD and Everquest, it had that "feeling" of magic to it. Skyrim reminds me of Conan, Beowulf and Season of the witch. They are all fantasy, but they have their own "feeling" of magic to them. I think that is all the OP was trying to say, he expected more of DnD, and got Conan instead. I agree, I think Skyrim did a good job and I think they made the world that they wanted to make, but I felt the same way too. Not that it makes the game bad, it just makes it FEEL different.