These are the kinds of complaints that I call baseless. You have to do some of the quest to get the whole thing going. It's like an hours worth of play in 200 hours of playing.
FACT: I still have the part of the main quest that wants me to go up to the Greybeards. I have yet to do that and I'm about 50 hours in.
Seriously, some of the parents of these complainers really spoiled them.
Actually, in an open world RPG one should not be shoe-horned into starting the main quest.
This is far from baseless as starting the main quest will cause dragons to appear, and people may not want that.
When you want to play this game the way
you like it, instead of being put on rails and told what to do, this complaint is valid, reasonable and logical.
It is rather annoying however to have to read replies such as yours, people that automatically attack anyone who is unhappy with something no matter how well-spoken they are or how logical it is for them to be unhappy with a feature, no, just because the defence force cannot stand heresy you have to jump at the chance to say something silly, snide and insulting that has nothing to do with the topic at hand and only serves to put down. Well done.
To the OP: You can avoid starting the main quest in the palace in Whiterun.
When you enter the palace a guard will come moving towards you who will engage some dialogue about why you are there.
If youre fast and lure him to one end of the hall before you sprint towards the other, you will be able to deliver the sword etc. without starting that conversation.