Personally, I felt frustrated with the Skyrim sidequests. They were almost too easy and unrewarding. It felt like the game handwalked you through most of them, and it made story jumps way too fast. You made me head of the mage's college after only knowing me for a week and I can only cast mage's light? I'm sorry, but even if you did one very impressive thing, that's quite a leap. In Morrowind especially, when you were head of the mage's guild, you felt that you deserved it. You have to be able to cast spells, even if you didn't do it very often, and you had the support of most of the guild because you spent time with almost all of them.
The other issue I had with Skyrim sidequests is that it kept throwing them at you. In a casual walk through town... "QUEST!! Do guy's dirty laundry" (not literally, but some felt pretty trivial considering you were supposed to be this epic person)
I agree that morrowind's combat system can be quite frustrating, but not in the same way. Until I got my swordsmanship fairly high, I missed quite a lot. It gets pretty frustrating when you spend 20 minutes of "Miss, miss, miss, miss, hit - Yeah! I deal... one... point of damage." I prefer the setup now, where you hit, and weapon condition and skill only impact the actual damage output.
That said, I completely agree that morrowind was much more difficult to get into. It had, in my opinion, the best story of the three, but you had to pull the story out of the game though, it spoon-fed you nothing. I liked that, because it made the story more fulfilling when you got the next portion of it (nothing bad with not wanting to do that, just preference).
(odd coincidence, soon as I was about to hit post, my friend on steam started playing morrowind).