Anyway this game is not for those that don't want to get involved in the gameworld, hear what the NPCs have to say, feel their character (roleplay it), etc... people just wanting to run around and do quests clicking to avoid the dialog and following a marker will find the game boring and without content. As your friend said, "there is nothing to kill..." well of course not, it's not Diablo, or WoW, where you just go around leveling up.
Imagine how much better it would have been had you been running to or from imperials before you got caught and thrown on a cart. Fight your way out or get captured leaving it up to the player if he/she is skilled enough. That both adds to the immersion and catches our gaming addiction right away.
If Elderscrolls ever develops an awesome MQ story I won't want to skip a thing, clearly this is a preference thing. Which is why there should be a preferential skip button.

