I'm perfectly fine with no closure on the Thalmor business. Frankly, the stuff with the Thalmor shouldn't be resolved in Skyrim. It doesn't really make sense that the stuff with the Thalmor would come to a head on the opposite side of the continent. The Thalmor's only business in Skyrim is stirring things up as a distraction for their real enemy, the Imperials. They are certainly manipulating the events of Skyrim, but it isn't their main operation or anything.
I personally think the Thalmor is too big for just DLC. It deserves its own game. The next Elder Scrolls should be: The Elder Scrolls VI: Dominion. Set it in the Aldmeri Dominion. It can be set in The Summerset Isles (home of the High Elves), Valenwood (home of the wood elves) and Elsweyr (home of the Khajit). Each is too small to make its own game, but combined...it would provide a massive, diverse gaming word that spans from traditional landscape like Oblivion (Summerset Isles), tropical rain forests (Valenwood) and vast deserts (Elsweyr). It could be pretty damn impressive and I hope that is the route that Bethesda is planning to go.