It is not the same. In Morrowind you signed some forms and were free to do what you wanted, you did not have to go through same dungeon each playthrough and Oblivion gave you the chance to change at the end, so you could make a save and not have to repeat the dungeon.
Dude, in Oblivion, the whole reason you were let out of prison in the first place is because the Emperor saw you in a dream, gave you the Amulet of Kings, then told you to bring it to the Priory because it was your destiny. You had to totally ignore the whole reason for your freedom in order to role-play anything else in that game. Plus, Kvatch was always doomed, whether or not you pretended that you were never in prison.
Morrowind, by far, had the best initiation out of the three. But Skyrim at least gives you a similar freedom to Morrowind in that you are not obligated in any way, shape, or form to become the Dragonborn. The minute you leave Helgen, the world is your oyster and there are no irritating quest hooks that lock you into the linear quest line. I loved Oblivion, but I didn't like the way your freedom was instantly stripped from you to role-play the way you wanted. I was so happy when I realized that Skyrim didn't lock me in like that.