Daggerfall Unity would like to have a word with you.
Big disagree here, Arena and Daggerfall are 100% rpgs in every way. Morrowind is too. The world in Morrowind is actually extremely tiny which is why it's so rich with things to discover and sidequests, it's all packed together like sardines. I've never seen anyone say "Morrowind is my favorite because the open world is huge and I love hacking and slashing monsters". I always see people talk about the depth of the game systems and role playing ability, freedom to do what you want, amazing writing, story and setting. It's not like people refer to Morrowind as genuine art because it's fun to get into combat with cliffracers.
I am not comparing it to Conan to say the appeal is 'hacking and slashing monsters', I am saying the appeal is the pulpy fantasical nature of the world and sidequests compared to other fantasy shit like LoTR or GoT where the overarching story is key. The size of the world is also not integral, although it is part of it, especially in the era before open-world became standard
It's a series about being an adventurer in a fantasy world with wide possibilities in regards to the expression of your character. You can't choose who to stick your cock in by pressing the [flirt] option or whatever but you can be a sneaky thief, an assassin, a mage, a barbarian warrior, or a mix thereof and pursue your character's personal narrative and progression however you see fit.
You can argue that going on journeys and navigating the world without fast-travel is roleplaying as an adventurer, but in that case almost every game could be called an RPG, I would describe that more as "immersion" since you're only getting into the role the game wants you to play, but I guess we're getting into semantics. Most people define roleplaying as character-building, meaning getting to make choices. I can't speak for Daggerfall but in Morrowind, your only choices aside from the occasional sidequest are picking a faction and choosing where to go first.
It's hard to call it a serious role-playing game when every faction in a xenophobic nation will treat you equally regardless of if you're a non-native Dunmer, an Orc or a coked up Khajit woman.
I don't intend this as major criticism, I love well-written pulpy sidequests, I've just never understood the image of Morrowind as some "deep complex RPG experience".
As for mechanical roleplaying, maybe I'm retarded, but I never paid much attention to my build during my runs besides picking a weapon skill and some magic schools, and I always had the balance broken over my knee by level 20. The systems are deep in theory, you can pull some fun tricks with Alchemy or Alteration, but in practice the average player regardless of what they pick will spent most of the game clicking on enemies and working around jank, same as Oblivion or Skyrim.