One is mentioned in the lore book King Edward, depicting the unicorn on Nirn instead of in a daedric realm. This - alongside the fact that in the book, Edward himself is more surprised with seeing a unicorn than seeing a golden dragon - leads me to believe that they're not daedra. If unicorns were daedra, Hircine's realm would probably be overflowing with them (or at least we'd be seeing waaaay more of them than just one single example over the course of all TES games.

EDIT:
With a bit of googling, I also found the lore book The Light and the Dark, which states: ""Destruction of a fire daedra strengthens the Light and weakens the Dark just a little. In the same manner, destruction of a unicorn strengthens the Dark."
^ This seems to suggest that unicorns are not daedra. Otherwise, destroying one would strengthen the light and not the dark.

EDIT 2:
Yes, it seems entirely possible for non-daedric creatures to be native to an oblivion realm. Sheogorath's Shivering Isles has Gnarls, Elytras and Baliwogs not found anywhere else, though one could question whether these Oblivion DLC creatures create a precedent for unicorns.

Daedra are Ammoral, so the usual rules do not apply. That being said, there are Daedra that lean more to the mer view of good or light and those that lean towards the bad or dark view. Azura and Meridia can be quite ruthless if they feel the need to, where even Sheogorath is not always evil.

I am not sure if unicorns exist in daedric plane in the same way as other deadric creatures do. Perhaps their effect on the world is the same as any other object of beauty, the loss makes the world less appealing, rather than more evil in a direct manner. But, the impact of their loss can open the way for more evil through the apathy of despair.

ghastley wrote: »

My take on unicorns is that they are normal horses, raised in special circumstances - i.e. under the sustained influence of a virgin. That makes them rare, of course, and they revert (permanently) if separated from the virgin for too long, or if anything "happens" to her.

I implemented that as part of a mod for TES IV: Oblivion. The Unicorn that was the target of Hircine's quest got a rider.

That's a really cool theory and it's great that you made it a mod, but I'm specifically asking about TES lore, not fan additions or traditional ideas of unicorns in general mythology. As far as I know there's no mention of an association between unicorns and virgins in TES. The book King Edward mentions that the title character believes a unicorn would not carry a person who is evil, but even that's contradicted later on.

Unicorns are evil. Period.