My personal favorite is when my Chiss Imperial Agent gets approched on Balmora to help cover up the murder of a Chiss delegate, so the Ascendancy doesn't find out about it.
You're an Imperial Agent! You don't work for the Chiss Ascendency. Are you implying they should be investigating your connections with the Ascendency?
But seriously, you don't just team up because you're the same species. If they come from another world, they're "alien" to you.
Imagine you're an American citizen whose lineage is not native to the North American continent (highly likely). Do you owe (and by "owe" I mean "willingly give") more "allegiance" to the country you were born, have lived, and will probably die in, or the country your ancestors are from?