Molag Bal, for example, probably likes to employ the use of undead, as long as you forcefully will it to your power (AKA enslavement). Sheogorath doesn't seem to have much issues, as evident with the shambles seen in SI. Maybe Vaernima, as long as it conjures a nightmarish image and the like. Though she hasn't been fleshed out well enough for me to pass judgment.
Really? Well, I mean, the enslavement of souls is his style. Corruption of flesh, sure - but I get the feeling he'd prefer the soul to still be part of the body, so as to endure the trauma. If the soul is already bobbing in the Dreamsleave, it doesn't really care what happens to the corpse.
That narrows "undead" he likes down to... mmm, liches and ghosts. Some nice creepy "undead" in Battlespire, but I don't think they were really associated with a Prince.
Lesser Daedra are superior to undead in all forms. Lesser Daedra are alive, have their brains in the best condition possible, and are in peak physical condition. Undead are sort of... well, they are sort of
dead, you know? Not too smart, but they'll obey their creator. So, in other words, why would a Prince bother with rotting creatia?