How has everything pointed to the empire ending? Don't mistake one playthrough for how millions of people play. You're given a choice. I say this nicely, but you don't seem to have an easy time to embrace this concept. You know how hard it is to make a game, right? Even one with as short a questline as the Civil, there are still hundreds of hours invested in it. All the scripting, sequences, set pieces, characters, armor models, acting, etc.. They don't just put that stuff in there so you can declare it all meaningless for everyone else. That's a lot of time put into things just to cater to one set of players in the end.
Not just in Skyrim, but in previous games- for instance, Talos himself appearing in Morrowind to say that the empire was finished- and the dissolution of the empire between Oblivion and Skyrim. Don't take this the wrong way, but you're holding onto the past. The series should move on. Nevertheless I already said I don't mind if they give the option for the dovahkiin to conquer Cyrodiil and become a new emperor of whatever's left. I just want my game to have some meaning, too. And it's not that.
Also, since you're the last dragonborn, you're not going to be able to renew the dragonblood emperors. The dovahkiin is not a Septim. You can set up your own dynasty if you like, but I don't recall that any of the other games had the hero become an emperor either- correct me if I'm wrong- so I really wouldn't get your hopes up that this is what Bethesda intends.