This so hard.
People whine about no consequence, and then when there is consequence, they whine.
Needing to aid other people in order to achieve your goals is a very real world consequence. You want information as to Esbern's location? Well, you gotta do something for the Thieves Guild. Very realistic. You need information about the Elder Scrolls? Well you're gonna have to go check out the College of Winterhold. Very realistic. You don't want to join the College? That's cool. Never seek out the person who gives you a tour of the campus, and never do anything for the College beyond getting the information you need. Problem solved. You don't have to become the Archmage - the OP even suggesting that is just asinine. "Funnel" quests that lead you to bigger quests? That's not a bad thing at all. Can't decline a quest? Yes you can. You can exit out of the conversation before accepting it. That is declining the quest. Journal entries in your journal that you can't get rid of? Sounds like Morrowind and Oblivion to me, where even if you had no intention of doing a quest, there was an entry in your journal about the quest - written in character - saying "Hey I should go do this" - that is more character breaking than anything in Skyrim.
You don't want to do everything with one character? Then don't do it! It's that simple. Nobody is forcing you to join the Companions, or the College, or the Imperial Legion, or the Stormcloaks, or become a Thane of every hold...
However, having to aid specific people, or encountering some consequence to complete your goal or as a result of your actions? Very real world consequence, and very appropriate for an Elder Scrolls game.
That isn't consequences though - it's a game design that pushes you into whole questlines because it assumes you don't care about what sort of tasks you're doing.
The Esbern thing has nothing to do with consequences - ithough it can be bypassed, the game (that otherwise puts big arrows over everything) doesn't make this at all clear and basically gives you the impression you cannot proceed without initiating an entire questline - ok you don't have to follow it through, but it's assuming you don't care about being a thief. It's sort of telling you you have to do this to proceed. It's not giving you "consequences", it's pushing you towards doing everything because it assumes you don't care about what you're doing - it's thinking it's a quest so you'll doubtless want to do it because players don't care about whether their character is a thief or a mage or whatever. Sure, you don't
have to become archmage, but the game does its best to push you in that direction. What's particularly crap is the way you can become archmage after having totally neglected magic, never use it and have no skill in it beyond your starting stats.
And why is it "realistic" to have to join the college to seek their help? Wouldn't it be more realistic to...just ask for their help? If someone contacts a renowned scholar for their expert opinion on something, do they have to sign up for a degree before they're allowed to e-mail them?
Consequences is about your actions having, well, consequences - something the game lacks in spades. Indeed, one of the ongoing big criticism is it doesn't much matter what you do because it won't really affect anything - as I said earlier, you can still become thane of Riften for apparently being some kind of people's champion even after you've extorted several members of the population. Exactly because Bethesda seem terrified of any player shutting themselves of from anything or actually experiencing consequences because of decisions they make - quite the opposite, they seem to actively want every player to do everything or come up against brick walls by not being a werewolf warrior thief assassin mage.
The point is you
are (to all intents and purposes) forced to join the college to complete the MQ and you
are forced to join the college to complete another quest that has nothing to do with the college and involves three other dungeons you may already have ploughed through before discovering it is impossible to progress the quest without joining. That's not 'consequences', it's railroading the player.
It's true you can click out of dialogue, but it's also true the game frequently doesn't give you dialogue choices to decline quests. Again, it assumes it's stuff to do so you'll want to do it.