Don't hundreds of years pass between games? I think that the Empire was a lot more coherent in the era of Morrowind, where the local authorities are allowed to exist but the Imperial garrison are clearly the real people in charge, but by the time of Skyrim they're losing wars and fighting amongst themselves and it may be a much more loose formation. Perhaps it started out as the Roman Empire but ended up as the HRE after many generations of the imperial bureaucracy stagnating and local warlords claiming more power and privileges for themselves.