They do comment on the Dragonborn, at least to a point. Lots of dialogue repeats so that's a reason for the failure. This is annoying, but you still can't expect people to know you actually killed Alduin. It wouldn't make sense. In Morrowind and Oblivion people had a good reason to know that it was over, to know what you did. In Skyrim, not so much. They at best know you are the dragonborn and capable of killing dragons.
Well, to be fair, even a so-called "friend" discovered I had used my dragon power on the Throat Of The World, and in the deepest and farthest room in a dwemer ruin (because that's the only place I used it in that ruin), to direct me to a new Power word. I mean, the dwemer ruin, alright, I can still use my imagination there (with a lot of brain pain). But the Throat Of The World?! Either P'thax suddenly became very shy and is less isolated of the world than he lets on, or I got a stalker who managed to outwit everyone (the greybeards, P'tax and me) and is able to use the Clear Skies shout without anyone noticing. In the latter case, that "friend" should just take over my role, so I can chill at a beach with a pi?a colada instead of playing the hero to complete strangers.
Well, it's not like I really minded that so much, but it was a pretty big wtf moment back then.
For me it would have to be the built enviornment.
I can't suspend my disbelief over the size of the towns and cities. They're just too small. I understand the whole world is scaled, but there is such a thing as scaling too much.
Hmmm. As fas as my experience goes, I'd say it resembles the size of towns and cities in Northern Scotland. In fact, riverwood is the perfect normal town you can expect to find there. A town of maximum three streets, exactly one shop, and add to that a small harbor, and that's what I'm used to see during my holidays at Scotland.
It's a cold region, which absolutely does not invite to build big cities and live with thousands together. I actually like it like this. The same goes a bit on the magic and enchantment stuff: don't forget the Nords don't like anything magic-related, so it'd be weird to see a lot of magic in their home country.
Where are the apple trees? Heck, you'd need a few full-blown orchards to supply the volume of apples found in the game.
How is it that the Draugr are always packing a few recently minted gold Septims? For a race cursed to walk ancient, long-lost tombs as undead Nord zombies and mummies they all seem to be set with modern coin.
1) Apples are probably imported, although the abundance and the price don't correlate. But apple trees in a tundra?

2) I agree. It's especially weird they carry normal gold (and not lumps of gold or ancient coins), which you still can use as a transaction unit in the present Skyrim. Along with the very present weapons and books, and the eternal burning candles. Is it that hard to allow us to get a bit spooked by completely dark ruins for which you finally (!) would need to use torches to find you way? A crack through which daylight or moonlight shines here and there can provide some extra light and atmosphere too. But this? I am disappoint.

And bows, made out of metal and glass with no ability to bend.
The glass is no real glass like we know it irl. As far as I can remember from the lore, I thought it was volcanic rock? Like the so-called Ebony, but Ebony has been tainted by a daedra heart. Or something. Well, not like you can really make bows out of volcanic rock either.

They'd svck big time, I imagine.
Anyway, for me, the thing that bugs me most is the sneakily killing one guy and the other acts like it was his imagination/shooting an arrow in the face and the guy still thinks it's his imagination.

If I want to keep it real, I always have to reveal myself, but I'd rather stay hidden and have them actually search for me.
Another thing is the unkillable npc's (so what if you kill one which is important for a quest? Just don't kill them so easily if you want to fulfill as many quests as possible? Geez.), especially the children. Not only are they among the most annoying npc's, Bethesda apparently thinks it's better for children to have everyone they know be killed and be forced to survive on their own (which they can't so they'll probably die from hunger and thirst in the best case), than to die. Yeah sure.