I don't believe they even wear armor like that in Oblivion. It felt kinda out of place in Skyrim though. Meh, at least it looks better than the guard/Stormcloak armor. All in all, the only thing that reminds me of Rome about the Empire is the legion.
They do not wear armor like that in either Oblivion or Morrowind.
It does feel out of place in Skyrim, I agree with AlbinoDunmer, the armor was added for more people to idenify with and recognize the empire.
I personally like the Stormcloak armor.
The legions and the empire armor is what reminds me of Rome but other than that they are entirely different.