I can certainly get behind something like this. I also think you have a really great point with "the user sees an error message when they first launch OpenMW. Let's show them something friendlier instead." It's good to express positivity ("Hey, let's install a game!") rather than negativity ("I couldn't find a game. Pick something to install."). The former is more inviting, which in turn not only creates a more up-beat experience, but also helps provide a kind of psychological defense in case something does go wrong (a positive-thinking user is more likely to remain positive and ask for help in the face of some errors, whereas a less positive user is more likely to just give up and sour them on the project).
Including links to purchase Morrowind is good too, as we do still occasionally get someone who doesn't have it and isn't sure where they can get it. I don't see how it could be trouble legally to simply provide links to where it can be bought (IANAL), but the disclaimer isn't a bad idea either way. I may even take it a step further and mention Bethesda specifically, like "Neither Bethesda Softworks or the above retailers endorse OpenMW for playing Morrowind. OpenMW does not vouch for the above retailers and does not receive compensation from them."
Including some kind of SteamCMD functionality built-in to automatically have Steam download the game would be a nice touch too, for Mac and Linux users particularly, though maybe a bit more involved compared to changing the wizard UI.
More generally in regards to discussions on this thread, I think it would also be worth bringing up these two bugs:
"Install game patches in installation wizard"
"Missing bloodmoon data files"
When installing from non-GOTY CDs, the game is not patched to the final version, which can leave in some game data bugs and even cause compatibility issues with mods. Also when installing from CDs (this might affect the GOTY version too, though I'm not sure), it doesn't install a bunch of files from Bloodmoon, which leaves the expansion kind of broken. With generally improving the install wizard's UI to be more user-friendly, fixing these fairly serious installer issues (3914 especially) would help close up the biggest problems with using it.