It is the developer's prerrogative to design the game as he sees fit. If you do not like the game without a save game feature, you don't buy it. You should have tried the demo before buying it.
Also, I must add I DO play Oblivion with "perma-death". If my character dies once, its game over and start again for me.
Currently, I am a 17th Lvl Imperial roaming around the map and having a blast being cautious and wetting my pants at the least sign of danger... oh! And I play with mods that make the game significantly harder.
