“I wish there was an option to team up with Hieronymus Lex and catch the Gray Fox and put an end to the Thieves Guild in Oblivion, just like there is an option to destroy the Dark Brotherhood in Skyrim.”
Why though? D: The Thieves’ Guild is so… gray area in Oblivion. There were several ‘Robin Hood’ style missions. The Guild also helps keep the violent thefts low, since it’s against their policy, and they police the fuck out of any non-associated thieves in the area. Why would you want to open the place up to unregulated free-lance thugs?