Since when do the Elder Scrolls games "main plot" lines ever have any sense of closure? Even in Oblivion, the most you get from helping defeating Mehrunes Dagon is a set of armor that is tossed away for something better later on, and the "Champion" title that you hear seldomly from Imperials..
Even though I haven't gone to face Alduin yet in my game, everything leading up to it so far in terms of interaction with NPC's and the world itself doesn't really seem bothered by it save for the occasional "Oh my, did you see that dragon earlier? ..Excuse me, I need to tend to the laundry now." -_-
Then again, that's just me. (*prepared for the flaming of many Bethesda fanboys for daring to criticize Skyrim in any way, shape or form that I felt was lacking..*)