because that's how the game has been made?
this game's about exploring and freedom, consequences=less freedom
Both yes and no.
Consequence doesn't necessary have to mean less freedom it is all about how it is done. For instance during the civil war quests you could be given the choice to replace the Jarl in the city that you capture, there could 3 choices to make each with a different advantage and disadvantage. It could be strengthen a certain guild or weaken it by your choice, what would happen if for instance riften got a jarl that was determined to root out the thieves guild once and for all? Or what if the jarl that you choosed wanted to strenghten the thiief guild as it would ensure her/his powers. The third one could be a person that wasn't too concerned about the guild at all, but rather would run the city as it had been run. These would not make the freedom less, but it would enhance the experience for the player as if he played a person that wanted to get rid of all evil he would be able to get Thieves guild out of Riften and force them to relocate. And for a thief, by choosing the jarl that wanted them there the thief guild would get a certain boost and added protection from the jarl.
Side quests could also have consequences but in smaller ways, what if the bandit leader you are about to kill pleads for his life and promises to never do anything criminal again? By sparing him you would have 2 choices, either lie to the jarl about you killing him or tell the truth. This consequence would be a lot smaller, but the player could then meet him as a farmer maybe, or a merchant or maybe even as a bandit again at some point. These choices doesn't affect freedom either, but it would allow players to roleplay their character more "correctly". A good character could then either capture the bandit and imprison him, spare his life or choose to kill him.
However consequences that effectively blocks off a part of the map is bad, they will affect the freedom a lot and should not be used in a game like TES games. However by adding consequences you would also add some dept to the game for players, their actions would mean something thus connecting the character more to the world.