If you add an option in that allows something to be accomplished in an easier way, and then expect the people who want immersion to just refrain from using it, that's just all wrong.
Fast travel should have been like it was in Morrowind. A linked system of Silt Striders, some boats, and the later Propylon system (only really got good once they added the Master Propylon Index thing). None of this "hop anywhere from anywhere" business.
Not using the fast travel in Oblivion is just spending more time than you need, for little to no reward, since the land between points A and B kinda sucks anyways (and it's often completely not planned out for people who WANT to travel by foot, with regard to what you'll find along the way).