It does but all the amazing worldbuilding is an illusion caused by character statements and books in-game that expound on interesting lore. Most of it is never actually relevant, never appears in game, or when it does appear in game, it is changed radically to be more mundane and not at all how it was described (Cyrodiil). I think the only cool lore that actually paid off was when they foreshadowed all the Dragonborn business in Skyrim in a few ways including Mankar Camoran seemingly being a Dragonborn due to be able to wear the amulet and describing "speaking fire" or something in one of his books