Bethesda took it out because you are not doing simple linear quests anymore. Each quest (especially the Guilds) have a story, and you won't be "ranking up" like you did in Oblivion.
Yeah, it was cool to rise the ranks, but it was all just superficial, really. You will still get some neat stuff.
Oh, and in case you were wondering about the Skeleton Key... you could have kept it in your inventory... for a while. As long aas you didn't decide to go through and complete the Pilgram's path, you could use it to your benefit.

What's good about it is that unlike lockpicks, it will NEVER break, no matter how tough a lock is to pick.... even at Master level.