Thanks to Mr Ulfrick the Dunmer resent the Nords even more than they would because of the way he had them treated. If he had any intelligence whatsoever he would realise that the Dunmer do not hold any alliegence to the Empire nor the Dominion, they never had to be an enemy but Ulfrick didn't have the intelligence to realise this and in his mind it's Nords vs all other races.
The Dunmer may have united under him if he promised them equality but as it is, they are a wasted entity.
You do realize that not only did ulfric not put them in the grey quarter(That was 160 years ago when they moved in), but that the dunmer of Windhelm are by legal rights their own nation inside skyrim. They don't pay taxes, self govern, and don't owe allegiance to any jarl. He never made them an enemy, they decided to seclude themselves from the nords, because that's the way the dunmer of morrowind always did things. Neither side has ever liked the other one.
More to the topic though.
The dunmer don't really have anyone they can really trust.
The thalmor would execute them on the spot because of the daedra worship and conflicts of the past.
Most dunmer saw the imperials as oppressors in Morrowind(House Hlaalu less so)
The nords and dunmer have had a fued lasting since shortly after the night of tears thousands of years ago.
When they were in power, they harvested hist from argonia, and enslaved argonians.(Which during red year the hist got their revenge for)
They've never really been the friend-making sort. But when you have three living gods backing you, you typically don't need many friends. Until they of course die/disappear on you and everything around you goes to hell.