The feature works really well. It even changed the way I play the game to some extent as seeing the Zois from up close make some of them more memorable. The locations also feel better and it made me appreciate decorating my house way more than I usually would.
Arena has the flavor text for Mournhold that clearly hints for more adventure and reads: "You enter Mournhold, lost City-State of the first empire. It is said that a great evil resides under this city, slowly driving its citizens mad. It is said that none have ever seen the bodies of the slain after the a [sic] battle is over on this soil..."
Daggerfall's case is even more bizarre. You straight up play a quest (Morgiah's Wedding) meant to tie into the next game... which doesn't exist now.
Thinking about the recent pool, I think the one who actually gets it would be the hero of TES:Arena:
- Unlike the others who were bound to prophecy and/or had supernatural powers; the Eternal Champion had nothing. They were just a person trying to fight against a villain who no one would believe was a villain.
- They were left for dead in the Imperial Prison and the only reason they escaped was Ria Silmane helping them get out of the city.
- Differently from the other heroes; they had no help from the government whatsoever.
- Tharn often exploited Ria's connection with the Champion and was able to send his minions directly to kill the hero.
- They travelled across Tamriel, in its most dangerous places, just to get pieces of the staff that could save the Emperor. Fang Lair is a whole raid dungeon in ESO and they went there alone. Even Dagoth-Ur (place, not the god) had to be entered to get one of the pieces of the staff.
- The end game enemies are monster trucks. Tharn had a whole legion of vampires and liches serving him in the Imperial Palace and you had to fight against them.
This is all wrapped in a simple reality from Arena that I mentioned somewhat in one of those points: Loneliness.
You are a lone hero. Outside of Ria Silmane often manifesting to give you vague directions, everyone else feels distant. No one even mentions Tharn and it is likely because you could not even do so. Who would believe some random who was a prisoner in the Imperial City if they checked?
As a bonus that might or might not be reflected in lore: Arena is pretty hard. It is not uncommon for a bandit to appear behind you and two hit kill you if you are unprepared. Navigation in those dungeons from the MQ is quite difficult both in-lore and in-game.
The lore growing also made their achievements even more impressive. Did the Dragonborn get through Labyrinthian? Nice! The Eternal Champion did so without having any supernatural whatsoever. Did the Nerevarine fight across Dagoth Ur? The Eternal Champion did so without being immune to Corprus, but still risking their life to save the land.