I understand what you're saying about wanting more diversity at the beginning of the games, but I think they're purposely set up like that to give a wider range of players more freedom. It's pretty much just The Elder Scrolls Formula. You have a set-up that establishes the problem, the Main Quest progresses and more wacky things begin to happen to the point where you know Tamriel's in deep doo-doo, then you resolve the problem and everybody goes on with their lives.
At the beginning of Oblivion,
That right there is the problem that sets off the crisis that throws you into adventure. A dragon attacking Helgen is still a dragon loose in the world, just because everything seems calm and you don't start encountering random dragons until after the first couple of MQ quests. It's not like you're just randomly released from prison for no apparent reason, then coincidentally funky things start happening shortly after you're released.
Morrowind was pretty much like that, too, though there was really no major crisis that set everything off as soon as you get off the boat. Arena gave you a crisis with
Spoiler the Emperor being imprisoned by Jagar Tharn...that darn Emperor, always getting himself into trouble.
Daggerfall, I don't really remember. I think you're actually sent by the Emperor to check out a problem with the nobles or something. Even Redguard starts out with the problem of Cyrus' sister.
The "main problem" is always established right from the intro, but I think some of the reasons that you're not thrown right into dragons and Gates from the start is: To build up the story. To let the player get acclimated to the game before tossing things like dragons at him. And to also allow the player to completely ignore the Main Quest if they choose to RP in a relatively calm world. That's the thing that makes TES playable in so many different ways. They're not linear games, and I think the current formula is a good way to give the player more freedom to do what he wants. You have the option to ignore the Main Quests completely without really feeling like you're just screwing around while Daedra swarm, dragons terrorize, and the world falls apart around you. And if you
want the crisis at its height, it usually only takes three or four fairly simple quests to get things rolling.