I don’t think anything put a map marker, but it was all south of Balmora and west of Vivec type directions that functionally made markers. I’m not convinced it’s a huge gain in immersion instead of just circling that area.
Another thing was all quest information was written in your journal, so you could open the journal to see what directions were given as you are trying to follow them. If you lost your way you could go back to the start and try again. I feel it is a much bigger gain in immersion as you are using in universe items and landmarks to find your way.
The first Redoran quest is a good and bad example of this. They give you directions from a specific spot, as in go up this path this way, turn here, then head in this direction. Really cool for immersion, but the path texture on one of the paths was done really weirdly, and from memory it didn’t show on the map correctly, so it led to missing the turn a few times. If a remake could fix that sort of issue while retaining the good aspect I think a lot of people would realise how much quest markers suck.