Interesting point. Although since the player encounters three Aedric avatars during "Morrowind", not all the Aedra sacrificed themselves, I guess. The Nine are still capable of independent thought, and can create avatars.
Well, they did sorta sacrifice themselves in a sense they cut off an arm or a leg for the creation of Mundus, instead of their entire selves like Yffre. As such, they're quite weakened, but not powerless.
I think it would be really boring if the Daedric princes were just all "hur hur, let's go screw up the Mundus and kill people." They had existences before Nirn was created. What did they do?
Well, from what I gather about daedra, they really didn't have much of a purpose pre-mundus. With Mundus around, they made their own personal world, so they could have total control of it, and not have weaken themselves for a bunch of weaker gits. I'd say, other than Dagon, each of the daedric lords like Mundus, since it gives them something to do. Dagon is the exception, for he wants to go back and be the Leper Demon King and continue to cut corners. However, Mundus prevents this, so he constantly tries to destroy it.