I have been wondering about the Colleges main quest and the sidequest you get from Arniel, as well as obviously the mystery itself...they all seem rather connected.

First of all the fact that that the Psijic order have moved their entire island into another realm and come and go as they please, leads me to think they know what occurred with the Dwemer.

Then the Eye of Magnus device, seems to create holes in the universe for things to come through perhaps simply a side-effect but if it is to Magnus as it is the heart is to Lorkhan, then it sort of answers itself.

We already know that these sorts of realms exist, blatantly with Daedra and with Skyrim's Sovngarde, so it seems to be more and more plausible that the Dwemer simply moved up shop.

Plus there was always something about the College quest-line that felt that it was going to be expanded upon, certainly needs to anyway, it is rather strange at the moment.

Perhaps Hearthfire is such a thing, but i do not know, ahh speculation.

I'm pretty sure the Dwemer didn't want to just set up shop in another realm, I think they wanted to transcend existence entirely by unmaking their participation in it. Apparently they succeeded. IIRC even Vivec couldn't get any sense of their ongoing presence and he was a living god.