Agreed. Using mods and player quests you can completely change the game. If you are on a PC, you should hop on over to the Steam Workshop and look around. I recommend starting with a graphics collection (a collection of mods) - changes the whole look -n- feel of the game.

There are also many mods that add weapons and armor, tweak, change and add quests. Even whole areas of the map have been added. Also new companions, dragons - and if you think the dragons are too easy to kill no need to up the difficulty - download a mod. There's even a mod that adds different types of dragons.

Hmm, to be fair, you don't really get much of a sense of defeat in prior games either, but it is there:

Nothing springs to mind for Morrowind's factions, but (dunno if this is a spoiler given age of game)
Tribunal... well, yes, but also it had a bit of an idiot plot, but given how insane the bad guy was that makes some sense. Colony quests and MQ in Bloodmoon have minor ones too.

Oblivion... Fighter's Guild yes, MQ no, Mage's Guild yes, Thieves' not sure but don't think so. DB yes, Arena no.

Skyrim... the Thieves' guild and maybe DB is pretty much it, possibly very minor ones in Companions and CoW

Maybe the Civil War storyline is, but I think it's fair to say it's a sideshow, compared to the other story arcs. The Dark Brotherhood and Theives' Guild missions have a much more varied narrative arc, with ups and downs and betrayals and what have you, as does the Main quest.