I prefer Oblivion's invisible borders (but with huge vistas) to Morrowind's blinding fog and infinite ocean.
So do I, and I agree the 'infinite ocean' was just an illusion (admittedly a nice illusion). I just wish Oblivion let us fly, in the same way I wish DKS let us attack ground troops. But I thoroughly enjoyed both games, so these are only minor grievances.
On a new topic, I wonder if the next Dragon Knight game will feature The same Dragon Knight, or if you'll play as a new initiate to the re-formed order of Dragon Knights, with the player character from the previous game as the master of the tower. That would probably be a logical way to "depower" the previous character (instead of actually de-powering them) so the game is a challenge.
I guess if it's a new game, then it's a new character, but if there is any way to import my DKS character into the next game, I promise I'll pre-order (for the first time in my life!). I'd really like my DKS character to take a further part in the story, one way or the other...
EDIT: I'd even be happy with a 'Dragon Age' style import, where my previous character only affects the politics of the new game.