I'd love something like that. Questing could be through the planes of oblivion - it'd be more interesting then a derivative of the other 2 with different environments (not to say they're not still fun, but it begins to drag), and it'd make more sense for vampire/werewolf characters. ZOS could also add dremora/atronachs as races. Adding it to PvP would be more difficult. Ofc you could say they're home base would be the Imperial City, and they could have unique spawns at anchors/towns, but it'd be a hard sell cause players of such a faction would have to play significantly different than the other 3. They'd have to fundamentally redesign the map, or give the Daedric faction some gimps considering they'd be in the center. Maybe something like daedra only being able to push factions out of keeps and severely damage them, not take them over. It would definitely make crowning an emperor a hell of a lot harder and possibly stop some of the emp farming/trading. Dfienitely spice up PvP as well. Something along these lines would be awesome for a first expansion.

I'd really love to see all the daedric realms, moonshadow especially.

Definitely seems like a missed opportunity considering the plot. I suppose ZOS was really focused on the 3 alliances (which have lost most faction pride aside from color since u can put any char in any alliance), but a Daedric faction could easily have it's own unique role.