The problem with that you're feeling, in my opinion, is that you're expectations are misguided. What your character represents is not the center of all things, but a catalyst. You want something like Bioware, where you're the chosen one who is the only hope for the entire game, and the driving force\energy making everything happen, the only one who can set things right. It's different in the Elder Scrolls. What's going to happen is pre-ordained by said scrolls, mostly, and instead of being the power that moves the plot to the conclusion you want to achieve, rather you are the mechanism by which the inevitable end comes to fruition. Your only real power is by deciding what to catalyze, if anything. You're never obligated to do anything, even the main quest line, so by deciding what to catalyze you display the power you have over the world. Without you, even though the dominoes are all set up, they will never fall down.
My first playthrough I avoided the thieves guild and Dark Brotherhood questline, and helped the Empire take back control. Now I'm avoiding the mage's guild and companion quest line in favor of the more evil ones and ensuring the Stormcloak's win, since I decided my character is evil. Technically I could catalyze it all, but instead I'm going to exhert some restraint and build my character's path, rather than select from a few pre-selected path "this one is good" "this one is evil". I could technically try being more of a grey-area character and be a warrior assassin that wasn't too much into the thieving and wanted the more barbaric Stormcloaks to reign . . or be a thieving mage who felt the empire would be a bit more lax and more friendly towards magic. What I am on the big scale is determined by WHAT I do.
That's the macro though. In micro, it's reversed. By deciding HOW to do something, rather than WHAT to do, is how you shape your character on the micro end. Why do you think the system is geared towards action rather than achievements? In most RPG's, a kill is a kill, but not in TES. Whether I kill someone with a fireball or a one-handed sword shapes who my character is. It's the same effect, "my target dies", and yet my character is shaped by it.
It's just the opposite of how it is normally done, and that fresh perspective is . . well . . refreshing. Not necessarily better, but not worse either. Just different. Instead of HOW being meaningful on the macro scale "Do I bribe this person, kill them, or try to help them out", TES makes WHAT meaningful on the macro scale "Do I join the brotherhood, or wipe them out? " Did I tip the balance in favor of stormcloak's or Empire?". Then on the micro side, instead of WHAT you did "did you finish this quest?" mattering, it's HOW you did it "did you sneak in, blast in, bribe your way in?".
Appreciate the game for what it is, and you'll feel a lot better.