but Morrowind just has a more interesting setting, really feels like a world with thousands of years of history.
This. I remember my first game where I spent so much time panning the camera view at the scenery, that I would often stumble into an ambush before I knew it

Vvardenfell is a setting that has yet to be beat.
Even more so if you add in some of the environmental mods that add music, creatures, and landforms.

Morrowind just seemed easier to get immersed in as a world environment.