Fun fact, that’s why the immersion-breaking magic compass thing exists in Oblivion (and most open worlds since). Bethsoft devs explained it once.

Stuff is relocated a lot in development, and this means having to rework all dialogues refering to directions, occasionally missing some. It was even more unfeasible for Oblivion in which all dialogue is voiced and would have to be re-recorded.

So they just removed all directions from the dialogue and now you’ve got 100% accurate floating tags telling you exactly where to go, even when you are not yet sure what you’re looking for.