What I wish they would do is this:
1) Cadwell presents the quests like you are a hero, and now that an uneasy truce is made between the factions, that you are needed to help these other groups.
2) Everywhere you fight the other factions in quests, these names are changed to "rebels" or "stragglers" or "bandits" of some sort. Would require changing some of the voice acting.
3) You beat Molag Bal, but perhaps the continued existence of anchors and daedra could be explained in some other way. (a lieutenant trying to take bal's place for example).
4) The main faction leaders, at least, get 1-2 lines of dialogue recognizing you as the hero of Cold Harbor. Maybe the guards and the guilds do the same.
Do this and the whole immersion thing would be helped greatly.