Can you imagine how horrifying that would be? I mean, Molag Bal is a big dude, and probably one of the arguably darker Daedric Lords... Lets put it this way, I would think twice before making a character that worships him.
Yes, he is one of the more malevolent of daedric princes and he enjoys what he does. While a deadric prince itself has no concept of evil or good, most are indeed evil from our point of view; the less evil ones would be Azura and Meridia. Sanguine is half and half, he believes in hedonistic lifestyles which could be harmless fun or include death. Sheogorath is also half and half, he can be jolly and benevolent ( he genuinely cares about his realm and the inhabitants) or he can be homicidal just on a whim.
Anyway back to the point, Dawnguard have some people in it who lost someone they cared about to vampires, so they are partially motivated by revenge.
Fact is, vampires were attacking cities and so the dawnguard got reformed to stop them. Vampires were the aggressors there but like some of us have said, not all vampires are evil, some can live near enough a normal life but to the dawnguard, one bad apple ruins the bunch.