Wait what?!

All he says is that he'll [censored] your corpse after he kills you. IMHO, I think that's just his way of expressing how much he just wants to kill you.

But isn't he in Maar Gan?

That's http://www.uesp.net/wiki/Morrowind:Anhaedra.

As a gentleman, he also assures the player that he will be gentle.

It could also be a scare-tactic, or just a way to say "You just picked a fight with the wrong guy".

I'd like to emphasize that this is not true at all.
The quote from Darkest Darkness explains it already - summons stay here indefinitely, unless they are told to go back by the summoner. The duration of summon spells in all the games is merely a gameplay thing. Remember the sorcerer apprentice in... Ald'ruhn, I believe? He summoned a scamp, but wasn't able to control it, which caused the scamp to destory his home and stay there until the player eventually got rid of it.

And sorry, this is no personal grudge against you or anything, but that is not true either. The true reason is simply that daedra worship has a history with the Dunmer, and the daedra we find in the game are especially those of the four daedra who are considered to be evil by the Dunmer (Molag Bal, Sheogorath, Mehrunes Dagon, Malacath).

That may have a permanent summoning. Still you probably are right as in http://www.imperial-library.info/obbooks/doors_oblivion.shtml it is mentioned that "they came, were bound, and were sent away again".