That's so stupid! In Fallout:New Vegas you can side with Ceasar's Legion who are arguably the antagonists of the game, so why doesn't Skyrim let you?
Because Fallout =/= Elder Scrolls.
The Elder Scrolls have a timeline to follow, where the events of a game influence future games and are treated as historical fact. Last time we had major plot choices, they just made everything canon and called it the Warp in the West.
I'm surprised they even gave us the option to destroy the Dark Brotherhood.
Sometimes I edit my sig so it continues whatever I was posting about.