Morrowind really shines when you're able to work past all that immerse yourself in the world anyway. Without spoiling too much, you're released from prison without much skill or equipment into a fractured society, full of political and racial tension. It's up to you to explore and navigate your way through things and the world is rich enough to (usually) support your investigation. The story leans into typical tropes about the "chosen one" and power creep in a way that makes it compatible with using a little meta-gaming knowledge and min-maxing while roleplaying. After a little artifact hunting and enchanting you're soon able to breathe underwater, levitate at will, instantly kill everything in a 50 foot radius, or jump vast distances across the continent and land gracefully. All of which would feel pretty cheesy if it weren't set on an island ruled by three individuals who have amassed enough arcane power to be called gods.
Speaking for myself personally, Morrowind is one of those games played as much in the theater of one's mind as it is on the computer screen. As others mentioned, mods help a lot to make the game more visually immersive and iron out some of its rough edges. But ultimately what appealed to me about Morrowind is weaving my own story into the setting, climbing that power curve from nearly powerless to god-like.