Fun fact: Fallout 4 didn’t win any either, still a great and hugely successful game 
I think Bethesda games are in a tricky spot because what they do so so well isn’t really something that they specifically give out awards for. They don’t have the strongest stories, they don’t have the strongest set of RPG mechanics or whatever else that fits neatly into award categories - but when you combine all these elements and the incredible open worlds they make some incredible games.