In morrowind they do I think. The winged twilight which is this sixy naked blue-skinned demon girl with wings for arms and a poisonous tail. I like them.

winged twilights are messengers of azura, they are deadra. but aedra do appear in TES from time-to-time (akatosh appeared in full burning glory in oblivion to beat dagon back to the dead lands)
the aedra are et'ada that took part in the creation of mundas and are often associated with anu, the deadra are et'ada that did not leave mundas and did not participate in the creation od mundas (they are often associated with padomey) and the et'ada are divine beings that left mundas.
i have a question myself for any lore experts with more knowledge than me, is magnus considered an aedra?