Although there aren't actual demons in The Elder Scrolls V: Skyrim, the Daedra come very close to that definition according to the lore. Daedra are basically creatures residing in the plane of Oblivion, in their own various realms they've created as representations of who they are. Some of them are known as Daedric Princes, while other creatures are simply "lesser" Daedra, like Dremora and Atronachs.
While Daedra are separated from Aedra specifically due to not having any relation to mortal races, they have a tendency to meddle in mortal affairs quite a bit. In fact, the Daedric Princes in particular enjoy toying with mortals, which is why events of Oblivion took place and the many Daedric quests of Skyrim exist. That said, countless details about them still seem to make little sense.
10 Why Are They Called Princes?
The word "prince" is a gendered one, and often refers to something masculine. This would imply that the Princes are all gendered as masculine, despite some of them having the physical appearance of something or someone more feminine.
This gendering doesn't really make sense, especially since Daedra aren't mortal creatures or biological beings. They're energies and forces of nature, and represent aspects of the universe far more complex than any mortal race. The Daedric Princes, as a whole, are entirely genderless.
9 Why Would They Refuse To Help Create Mundus?
What sets the Daedra apart from Aedra is their refusal to take part in the creation of the mortal world known as Mundus. It is said that when the task was presented to them, they scoffed at it and considered it a waste of time and of their precious powers.
However, if the Daedric Princes are so many and they have so much power that they can create these absurd personal and private universes, why wouldn't they want to take the glory of creating the mortal world itself? It seems a bit counterintuitive.
8 How Come They All Became The Same?
It's hard to pinpoint what exactly the term "Daedric Prince" actually means, the main difficulty being that so many different kinds of Daedric Princes exist. There are creatures like Hermaeus Mora that have no humanoid appearance, and then there are beings like Meridia and Malacath who were born from other people.
How do they all still fall into the same category? How did they come to reach such a similar status? It's not just an inconsistency in Daedra lore, but also a question that hasn't received a full answer that's clear enough. Could it be that their refusal to participate in creating the mortal world is reason enough for them all to be cast into Oblivion?
7 Why Do They Still Interfere In Mortal Affairs?
It's been made very clear that the Daedra aren't exactly fond of all things mortal. After all, if that wasn't the case they would have participated in the creation of Mundus and considered it worth their time. But, maybe they did consider it worth their time, and simply wanted someone else to do the job for them?
This is an important question to ask because the Daedric Princes in particular absolutely love meddling in mortal affairs. They find mortals fascinating, and will often choose particularly promising mortals champions for their cause. It's almost as if their personal realms in Oblivion weren't enough for them after all.
6 Why Was Jyggalag Excluded From Skyrim?
Those who were introduced to the Elder Scrolls universe solely through Skyrim might not be familiar with a particular Daedric Prince that wasn't included in Bethesda's fifth installment. Representing order and predetermination of all events in the mortal world and Oblivion, Jyggalag believes the universe is guided by specific rules.
Why isn't he included in Skyrim? This choice from the part of the development team doesn't make sense, given that he could have played a significant part during the Dragonborn's main questline. Jyggalag also could have played a role in "The Mind of Madness," perhaps even more obviously. Given that he was freed during Oblivion, one would imagine it would make perfect sense for him to make a comeback in Skyrim.
5 How Come Lesser Daedra Can Be Unaffiliated?
The Daedric Princes aside, the lesser Daedra can be quite fascinating as well, even though most of them are considered nothing but workers, pets, and slaves for the actual princes themselves. There are many examples of such Daedra, namely the Dremora which are seen in Skyrim from time to time.
Atronachs, too, are considered as lesser Daedra, and what's interesting about them is that they can apparently choose when to affiliate themselves with the princes and when to do as they please. And yet, it doesn't make much sense for lesser Daedra to have such immense willpower and be able to resist the princes themselves as they please.
4 Enchanted Items Stronger Than Daedric Artifacts
Daedric artifacts tend to be some of the most unique and visually appealing pieces of equipment available in the base game. And there's no denying that many of them are quite powerful. However, strong as they may be, it makes little sense that with a little practice, the Dragonborn can fashion weapons and armor that absolutely trump them.
Given the immense amount of lore and history behind these extraplanar items, it's a bit silly to consider that all the woefully mortal Dragonborn needs to slap together a sword or helmet of superior power is a soul gem, a magical table, and maybe a grindstone or armor bench.
3 Why Don't They Destroy The Vigilants Of Stendarr?
The only true resistance against the Daedra and their influence in the mortal world is a group known as the Vigilants of Stendarr. They actively travel around Tamriel and hunt down those who may have had contact with Daedric forces in order to keep the influences of Oblivion at bay.
The size of this group seems, however, quite small. Given that they're but an annoyance and yet somewhat a threat to the Daedra, why don't the princes simply do away with them? Surely a powerful prince could organize a devastating attack on this group to completely split them apart.
2 How Can The Dragonborn Champion Them All?
One of the major meme-like features in Skyrim is the fact that the main character can join any faction and lead pretty much all of them. Aside from the civil war questline, all of them can be done simultaneously without picking sides or loyalties. That includes the Daedric Princes.
How do the princes not know that the Dragonborn is a champion of each of them at the end of all the quests? Surely the Daedra have enough power to see through the Dragonborn and detect such thing. Considering some of the Daedric Princes have soft rivalries and might even contradict each others' beliefs, this just doesn't make sense.
1 How Can Anyone Worship Them?
The Daedra, although often seen as demonic beings, still carry an important religious role in a select few cultures. Dunmer and Khajiit in particular are known as races that have countless Daedra as their saints, and tales tell that they were even created by Azura herself.
This constant worship and admiration of Daedric Princes doesn't make sense, because most of the princes are quite cold, callous, and uncaring towards their worshipers. Although some Daedric Princes protect their own, many of them could care less about mortal matters, unlike Aedra who actively watch over mortals.