Since I've been playing I've honestly not been paying much attention to the various alliances. My main character is a Breton sorceror who cares little for politics, and in the course of side questing here and there, became a Hand of Almalexia and saved the King of Windhelm. Since I personally don't have much interest in PvP (and hence journeying to Cyrodiil), I'm not sure this will have an impact on my gaming experience. But I do wonder if 1) there are any practical consequences of saving Morrowind and Eastmarch when my character is from Daggerfall and 2) if my allegiance would or should shift from the Covenant to the Ebonheart Pact.
Perhaps a more direct way to put it is to ask how the alliances are implemented, and if there are penalties for 'aiding the enemy.'