No Daedric quest allows you to permanently fail or betray the Prince except Hircine’s. You are always railroaded into a reward.
The Main Quest actively discourages roleplay. You are the “chosen one” immediately, and there is no alternative path to victory. You must kill Paarthurnax if you follow Delphine’s orders, an act most players reject (leading to the famous “Paarthurnax Dilemma” mod).
Before diving into specifics, we must classify Skyrim’s quests into six distinct mechanical-narrative categories: