Why do only Nords have children?
People of other races have children. It's just that the children all come out Nord anyway. Must be something in the air.

Why can't we have a Falmer who runs the general store.
You won't find this in the history books, but the Falmer once ran a thriving general goods industry. Sadly their habit of opening "Fal-mart" stores all over ancient Skyrim and driving all the small family-owned shops out of business only served to further arouse the ire of their already skeptical Nord neighbors. This is why Ysgramor killed them all. Trufact!
Why do we not see Thalmor arresting Heimskr?
I dunno, maybe he's just too good for business. The Thalmor want the civil war and general dissatisfaction with the Empire to continue for as long as possible. The Talos ban is one of the reasons for all the civil unrest; some Nords are joining the Stormcloaks over it and nobody's happy about it. Heimskr is doing his best to keep it in the forefront of people's minds and unless/until the scales are tipped in Ulfric's favor in the conflict, the Thalmor are probably happy to have it stay there.
Of course by the time the scales are tipped that way it's too late for them to get to him, because he's living in a city controlled by the Stormcloaks.