So, my understanding of Lorkhan and his purpose is that Mundus was the device he made by which others would achieve CHIM and ultimately Amaranth.

Such a world of 'limits' such as sleeping, physicsl bounds, time, death and injury was necessary...so that mortals would learn to transcend these limits and become the stuff of new gods... But also so they would, through the imposition of enough limits (sensory deprivation) be able to become a new Amaranth.

This is why the original Aurbis was insufficient, because while Aedra were not bound by time or mortality, they were also relatively stagnant, and being unlimited they were not capable of transcending their limits.

Have I got the idea right?

Yup. Lorkhan was an unstable malcontent who wanted something far greater for others at whatever price. Or was a sadistic butt-head who wanted to deceive the other gods. Or just wanted to have kids....

Still confused about how Anu is a being and achieved that kind of gradience (if anybody wants to give a quick explanation to that that'd be sweet).

Mundus was an easier alternative. To see the rim of the Wheel and held it in great significance is to attain CHIM (The Daedric Princes saw this rim, but none held it in a high significance), Z brings the rim so close that it is incredibly easy to see. In a high level of gradience Amaranth isn't impossible, just a lot more difficult.

The way I see it the wheel(telescope?) is a cycle and as the subgradience continues in pairs: Void-Aetherius, Oblivion-Mundus, Mortal Death-Z to the Centrex. In my opinion Z to the Centrex(Dream-Sleeve/Nonspatial Place?) is synonymous to the space without the dream. It is there where the loop repeats and there where little CHIMsters flourish into Amaranths.

As for Anu specifically: He lost all the love "Nirn" in his limited world and could not possibly comprehend a world without love. It was at that point when he realized that the world didn't exist, and neither did he. Unwilling to accept that his love for Nirn was nonexistent, Anu took the mantle of selfish love which breeds the Amaranth and began to dream of a world with love. So forth came his dream-self Anuiel and his enemy's representation in the dream, Sithis. With these two came the love that Anu so cherised: Nirn(Dream Version, of Course). The cycle repeated and through such their visages echoed into subgradience: Anuiel-Sithis to Auriel-Lorkhan to Jyggalag-Sheogorath.

Of course that's just my opinion.