It's a well known fact that Azura and Molag Bunk are allies (for god knows what reason) and we've been working closely with Azura throughout the game and in Morrowind. Molag Bum also says, while sounding like a broken old man, "It is you who will strike the final blow to our enemies. You are almost ready." when facing him at a Dolmen after beating the game. I took this as him saying we'd be fighting the "weaker" princes that did not make the pact with Sotha Sil.
That, or it's just him being salty and continuing to taunt after getting his ass beat. He needs to just take the L like a man. Personally, I'd rather help Clavicus Vile with whatever he's doing. Everyone knows he's the best Prince.