Yeah, it is fun to learn the characters as you go through. It makes it feel like you're uncovering some ancient secret or something. As I went through the game the first time, I made notes on a piece of paper about the messages and letters, and by the end, I could read most of the messages without referring to it. There's a lot of backstory in that text!
Morrowind also has its own alternative font, but it still vaguely resembles the Latin alphabet, and it's not used as interestingly in-game. Still, it's fun to be able to read the names of places on the paper maps.
Anyway, thanks for the tip, Zeke! It's kinda cool to see those messages more immediately.