And every other threat? The Thalmor? If the dragonborn is going to be the big damn hero, they need to have a coherent government existing around them, but are not exactly gonna form a new kingdom or organize a new form of governance.

And I am saying this as someone who would much rather play a Dragonborn who supports the Forsworn. I think the conflict not wrapping up neatly is fine, both endings leave you with cases of "yeah these guys are bastards to", and there doesn't have to be a resolution to that. You have all this martial strength, but that does not equate to political power