Based on lore, Dwemer society actively mocked the idea of worship and gods as a whole. While some might have engaged with them as exceptions, I think as a whole most Dwemer would have rather keep to their own agendas rather than be influenced by the Daedra. However, I could see them experiment on daedra. For use in their technology or magic. We also know at least one Dwemer traveled through Oblivion - but traveling and interaction doesn't necessarily combine.
@Dracan_Fontom that is what I was thinking - the Dwemer would experiment on them.
Daedra don't die (well physically) ...thought they might be interested in that.