I somehow doubt they'd really want to look like Altmer. And Azura's curse makes them look like she did in Morrowind, which implies that she is a kinswoman. Which, to the Dunmer (who already see the Daedra as ancestors) means she is almost like a Dunmer herself. The curse is more so she remains powerful in Morrowind, not so the Dunmer remember what Vehk did.
I don't think Azura necessarily looks like a Dunmer, despite the statues. The book describing the moment when the Chimer were changed to Dunmer makes it sound as if she changed them to look "like ghouls" -- ashen skin, crimson eyes. Azura thinks of their new look as a punishment. (I don't like how "Oblivion" portrays the Dunmer -- their crimson eyes are light red now, instead of presumably filling the whole eye socket; their skin is some kind of light blue instead of gray. It's as if they've been homogenized to fit in better with the humans.)
It's possible that Azura has dusky skin to match her sphere of dusk and dawn. I guess I'm just wondering if her statue in the Cavern of the Failed Incarnates is accurate.