The Daedric Cult Question is a weird one in the setting, given that it has varied wildly, but for the most part, in pre-Oblivion Elder Scrolls (both the game and event), Daedra worship was both completely legal, socially acceptable, and often encouraged, depending on the place. While someone might give you the side-eye for being an out-and-out adherent of Molag Bal, as long as you aren't doing anything that was already illegal, then it was completely fine in the Septim Empire. As for a comparison to historical Mediterranean polytheism, Daedra seem to fulfil a similar cultural and societal role to what I will call "unseemly" aspects of Gods, Hades to Zeus, Apollo Parnopius to Apollo Acesius, etc. While still cosmically good, they are totally insensitive to the suffering of mortals and fulfil an unpleasant but necessary element of society. For example, Mehrunes Dagon, while the bringer of chaos and untold suffering, prevents ossification in society and ensures a vitality to the world that would otherwise be lacking; Clavicus Vile punishes hubris and rewards careful thinking; Boethia challenges mortals to seize and hold positions they deserve.