Nothing changes: Tribunal has a completely separate quest tree you can follow at any time. Enemies and NPCs are leveled on your char, which means you will encounter the same difficulties with a 5th level or 50th level char (unless you bother some big fixed-level NPCs you should leave alone).
The only real difference is that loading tribunal right away you can get a great light armor set and a good weapon early at the game start, and it will help you a lot. There are easy-to-reach great items in Morrowind as well, but you must thoroughly know the world of Vvardenfell to get them, and I guess it's not your case.
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Never attribute to malice that which can be ascribed to sheer stupidity
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