The Dragonborne you play might not be the only one in existance. Either way he's only a mortal and can be killed just as anyone else can be.
The Thalmor aren't something going away overnight. I can see them being used in the next TES game, but for now they are too entrenched and powerful for one man / woman to take them down.
Morrowind to Oblivion was only a few years apart in the world of Tamriel.
Well, if you think about it, after the Dragonborn entered Skyrim teh war ended. And whether you joined the Empire, the Stormcloaks, or took the neutral option, you'll have an army by your side. If you try to pull the Empire already lost once card, then you don't realize the fact that the Great War would have gone a lot differently if the Dragonborn joined the Empire.
And yes about your second point, but if I remember right the first 4 games took place in a 10-20 year timeline. What I know for sure is that they all took place during Uriel Septim the VII's rule