Might be an dropped feature as in took to long time to get right, similar to the couriers in Oblivion.
If it was an expansion placeholder it would just be an door like the door in the mage university in Oblivion.
Yeah, the only traces in the accessible areas of the game that point to the arena are the fact that some NPCs still refer to the Windhelm Barracks as the "Bloodworks," and a small piece of corridor behind a wall next to the staircase leading to the holding cells. The worldspace still exists within the game data (either they plan on adding it back in, didn't have time to remove it, or didn't have the heart to delete it), it's just not accessible without mods.
Though I must say, the general layout of the Windhelm Barracks does make more sense when connected with the "Pit." It's kind of weird in the vanilla game with the seemingly random staircase to the right as you go in, leading up to the guard barracks, and that odd dead end just past the staircase that leads down for whatever reason into the prison cells, which I have always felt carried an odd gladiator feel to it. Now we know why.