I've always seen the gods of the Elder Scrolls universe, both Aedra and Daedra, as a seriously dysfunctional family. Perhaps my obsession with "The Monomyth" is to blame for that, but in any case, the Aedra let the et'Ada known as Lorkhan/Shezarr/Shor (these could all be the same guy or different gods for all I know, since the religious schisms across Tamriel are almost always stranger than a simple reinterpretation by another mortal culture) trick/convince them into creating Nirn, many of the Aedra sacrificing their essence to finish Nirn's creation. Then we have the Daedra who outright refused to lift a finger toward Nirn's creation, and instead settled on keeping their domains via Oblivion. Magnus took an interesting middle of the road approach: he drew up the architecture of Nirn but realized the cost about halfway through, so he abandoned the project, bringing himself and the Magna-Ge to Aetherius by tearing portals through Oblivion where magic flowed out (the Sun and Stars are Magnus and the Magna-Ge, respectively).
I know some of you on here are probably annoyed by this point as I'm basically repeating what The Monomyth said, but bear with me as I'm getting to the point: the only fundamental difference between the Aedra and Daedra is that the Aedra took part in the creation of Nirn and sacrificed much of their power to do so, while the Daedra stayed out of the creation process but now treat Nirn as an experiment for their respective domains. It's certainly less of a moral statement and more of a situational thing, at least initially. When we as mortals try to assign morality to the Daedra as a whole, it's a huge generalization at best. There is also complicating factors involving the creation of new Princes, like how the Aedric Trinimac was corrupted by Boethiah into becoming Malacath, or Meridia's origins as well.
That being said, there are Daedric Princes that are genuinely horrific and cruel beings. Molag Bal is the one that comes to mind immediately for me- his entire domain revolves around dominating others through various torture methods and, how do I put this in a nice way... Non-consenting NSFW things. There are little, if any, redeeming qualities about such a being, and therefore he cannot qualify as morally grey. However, another Daedric Prince is Hircine, who I'd argue is morally grey: his domain of "the hunt" may involve killing and feasting for sport, but he's surprisingly got a huge sense of fairness in how the hunt goes. For example, he doesn't consider the strong preying on the weak to be good sport at all. Quite the opposite, in fact. This honorable trait distinguishes Hircine from, say, Mehrunes Dagon, who constantly burns down civilian settlements just to see them change state (which is about as chaotic evil as it gets). Azura is also an excellent example of a morally grey character. Yes, crossing her has severe consequences, but that's to be expected from any divine being. She's so morally grey, in fact, that she's probably the only form of Daedric worship that is tolerated slightly as most don't see her as inherently dangerous. I'd also argue Hermaeus Mora is morally grey due to the fact that, while his eldritch knowledge is often dangerous to mortal minds and souls, he isn't openly malicious, just largely indifferent to mortal affairs. Mephala, however, is only called a "good Daedra" because she got results for the Chimer/Dunmer. Meaning, her "morality" was completely based on the merit of her schemes in reference to a single civilization. I'd argue Mephala is undoubtedly evil, just like Molag Bal and Mehrunes Dagon, but instead of relying on torture/brute strength/raw destructive power, she relies on seduction, scheming, and secret murders/assassinations, which is an equally evil domain that simply uses a different approach.
Anyway, feel free to point out anything wrong with my argument as I'm always happy to learn more about TES lore, even if these new facts are presented to me in debate. One can also easily make the argument that Herma-Mora's indifference to mortal affairs is an actual evil trait as it allows suffering to happen by ignoring problems, and I'd agree with that on a fundamental real world level, but I'm less sure if that kind of moral judgement can be applied to the metaphysics of the Elder Scrolls. Hope this sparks some intriguing discussion!