Morrowind is an exploration game that has exploration mechanics to back it up. Shocking.
And yet that doesn't explain the slow speed. Or do you think that adds to the "immershun" of exploration?
Now, I haven't played Morronwind, but it sounds like the speed is slower than NV and that was already unbearable and would have killed any will to explore anything if it wasn't for a console command to bring it a speed suitable for humans, but probably not for the monkeys that Bethesda targets with their games.
Morrowind started with a pretty low walking/running speed if you play as something with low starting Speed attribute and Athletics. Also, running around drains Fatigue and Fatigue affects the hit rate and skill/spell success chance, so if you run around and then get attacked, you will miss a lot since your Fatigue is depleted, which quickly proves frustrating. Tbh, I think that jumping around with good acrobatics is faster then actually running, but that drains fatigue even faster. You could just start out with a character that had high Speed, Athletics as a major/minor skill and the Steed sign to reduce the time it took to get anywhere at start.
But as soon as you increase you Speed, Athletics and Acrobatics, it becomes much better. There are also items and spells that help you move around, Silt Striders, Boats, Mage Guild portal services, Mark and Recall spells (one feature I wish they kept in Oblivion), Levitation (which was awesome), Jump spells.
Also the broken alchemy and Fortify Skill spells. You could make potions increasing speed by 2000 for two hours... and if you break the game enough, you will end up flying across the world in nanoseconds.
Oblivion replaced all of that with fast travel.
Now I actually like the fact that you start out with a higher walking speed in Oblivion, but it also made horses (which weren't in Morrowind) kinda obsolete. It didn't take very long to become faster then a horse, unless you've played some mage type that never leveled speed. And even then, fast travel existed.
Ok, actually I now remember why you need horses. It's so you can use them to climb vertical slopes and mountains, a feature they've kept in Skyrim.