Save in multiple slots.

(Why does classic Daggerfall give you only 6 save slots, particularly when its predecessor, Arena, gives you 10?)

One problem with Morrowind (and Arena and Daggerfall) is that the game doesn't provide any feedback to indicate that you rolled to hit and missed, as opposed to just swinging into the air.

(One game I've played, Fighting Fantasy on the Nintendo DS, handles this better; an enemy will show a block animation if you miss because of a failed attack roll.)

Daggerfall does have time limits for quests, but there is no quest which could run out of time as long as you're in the starter dungeon (for the first time, of course - when you return later, things might be different).

Yes, the starter dungeon is not supposed to be "smooth" (and yes, you can avoid all problems by simply running straight to the exit - if you know the way), but rather to introduce a few game features to you, like that different enemies require different ways to fight them. The imp is a great example in this respect. Unless you have chosen to get an ebony dagger during character generation, you'll probably not be able to kill it immediately (even using a starter spell will be tough or impossible, given your initial skills and magicka points). But you can run away, obtain a weapon of a suitable material and go back to the imp later (you may not know about the material initially, but isn't experimenting fun?).