Morrowind, Oblivion and Skyrim all started the player out as a prisoner of some kind. It’s high time Bethesda ditched this trend, at least partly, in favor of an introduction that’s more suited to their core design goals. Mod links below!
Links to some recommended alternate start mods:
SkyrimSE: https://www.nexusmods.com/skyrimspecialedition/mods/272
Skyrim: https://www.nexusmods.com/skyrim/mods/9557/
Oblivion: https://www.nexusmods.com/oblivion/mods/37382 (a newer one, haven’t played as much)
Oblivion: https://www.nexusmods.com/oblivion/mods/11495 (an older one, classic)
Morrowind: https://www.nexusmods.com/morrowind/mods/44110
Source
My main problem with Oblivion and Skyrim's intros is that while they are interesting the first time, they are extremely tedious every time after that. And the fact that they feature extremely important plot events that seem urgent, but really aren't in terms of gameplay, doesn't help. While Morrowind was also starting you out as a prisoner, it was way better because the intro sequence was brief and didn't make it seem like the world was ending at that very second, allowing the player to gradually familiarize themselves with the game and begin tackling the main quest when they wished. This is exactly why I think alternate start mods are popular, on top of the roleplay reasons you mentioned.