Keep in mind, that Azura's curse was to make the Dunmer look cool. They went from being your ordinary goldenrod high elves to badass-looking dark elves. Talk about a win for the Dunmer. So we cannot fault her for that.

The other ones like Mephala and Boethia helped the Chimer (which the Dunmer were called at the time), when they first left Summerset and colonized Morrowind. Deceit and murder being useful when taking over a foreign land. So after that apparently the Dunmer just learned to turn a blind eye to the two of them slaughtering their Dunmer worshipers, in respect for what they did for them in the old days.

Okay, I have trouble believing that as well.
Meridia was always around too, though I cannot recall if she was considered to be one of the 'good' Daedra by the Dunmer. She is a goddess of life energies, and opposes the undead. But that did not stop her from obliterating an Ayleid city in the past (Go to Sideways Cave in Oblivion, don't want to spoil any more than that). She also backed Umaril the Unfeathered against Alessia and Pelinal. So apparently she could not make up her mind about whether she wanted to wipe out the Ayleids, or protect them. But then again, IRL deities can be fickle that way too.
Peryite is a god of diseases, as well as "ordering the lower echelons of Oblivion" whatever the latter means. Maybe he is the Daedric slum lord, who gives folks a bonus of syphilis on the side.
Herm Mora is a god of knowledge. His realm of Apocphrya is basically a huge library with literally everything recorded within. People who have managed to go there never come back, because they lose themselves in the stacks. I do not mean just get physically lost. They lose their sense of self, their personality, their individuality. They are swallowed up by the realm. His quest in Oblivion was to have you murder a member of every race.
Sheogorath, at least the one most of us know before the Shivering Isles expansion of Oblivion, is best compared to the Joker. He's a homicidal lunatic whose idea of fun is skipping rope with someone's intestines. Or cheese for everyone. It just all depends on which mood strikes him at the time.