Ah but the mortal realm is only temporary! The afterlife is forever, may as well extend your life a little bit no?
Sure, if you can continue to have a positive purpose for being alive. My take on the TES universe is that there's reincarnation (The Nerevarine, right down to an explanation for being able to play multiple characters), so even though I tend to play one character 'forever' (

), I think you would probably learn and grow more as a sentient being if you die and are reincarnated. You get an instant new perspective on the world.
And even if you play a Janus Hassildor type of Vampire, living as undead seems very stagnant to me - especially when there are so many alternatives to extending your experience in the world. And don't forget that Janus Hassildor wasn't a happy guy. His condition caused him a great deal of emotional pain (his wife).
Being an outcast, and inevitably falling out of touch with the culture of the times is a central plot device in Vampire fiction. For vampires portrayed as benevolent, or close to benevolent (Joshua York in Fevre Dream, Saint-Germain in the Chelsea Quinn Yarbro books, Louis in Interview with the Vampire), feeling a part of the present is one of the major challenges the characters face.