[@Spoopy Scary]
Why the Daedric Princes don't just directly communicate confuses me as well. So, Sheogorath at one point TELEPORTS YOU INTO HIS FOLLOWERS MIND and a shrine isn't even there. Then he communicates to you from the mans mind. So they can speak to you in another persons brain, but can't speak through them/to them? Then you have Sanguine, who can freely walk into the mortal world with no one stopping him. Then Sheogorath, again, who can randomly choose to intervene in any summoning ritual of a Daedric prince and replace their appearance with himself.

Then there's Hermeus Mora, who can just appear fucking anywhere if he wants to apparently.