Four daedra were worshipping the shrine, which I found odd. Is he involved in any of the quests in Coldharbour? If not, then why the hell does Molag Bal just have a random statue of Clavicus Vile in his realm?
Cold harbour collects the debris of the worlds like rubbish on a tide line, it was probably in a temple that was drawn in and basicaly just went along for the ride