The time I saw the ash statue in Morvayn Manor in that black corner of the house gave me the creeps. At that moment, ash statues appealed to me. I kept one (just one, for getting more than one may cause nightmares) and placed it beside a candle that emits red light for that eerie feel. I really love how Dagoth Ur works.
Yes, they are probably used to channel Dagoth Ur's power or spread influence across the provinces. The things may also hold ash inside contaminated with the Blight. Thinking of how the statue works just gives me little tiny goosebumps
Smugglers won't give a damn as long as they get paid.
From what the statues themselves are made of, I can say clay, some metal, a bit of small shiny jewelry and a sprinkle of Dagoth Ur's undying love for you