Neither do Dunmers actually.
People keep saying the Aedra are good and the Daedra are bad. Its been said in about every piece of lore, neither are good or bad. The Daedra arent part of Nirn and do pretty much what they want, you can't count on them to be "good" or "bad" they just.. do what they do.
The Aedra got trapped in Nirn by Lorkhan. Being trapped there with no hope of escaping, its only logical that they would at least keep at tending to their creations. But give them a way out?.... You might just have the apocalypse in your hands.
Though I agree with you, trapped is an odd word here. Magnus, and thousands of other Aedra were able to leave. The more powerful Aedra likely would've been able to as well. The Mer, as descendants of Aedra, are indeed trapped (Except Dwemner apparently, who were able to travel to "outer planes" at the time of their fall), for the most part against their will, but they're hardly going to take revenge. Some Aedra apparently chose to stay, though most of them died (Worldbones/planets).
Akatosh had a reputation for leading Aedra from one world to the next, as each world "expired" as it were. Nirn was created (or at least he thought, Lorkhan may have corrupted the plan a bit) as a world in which he didn't have to bother because it stayed, and didn't die like worlds before it. But his leading Aedra from one world to the next aspect probably gave rise to his god of time/destroyer/creator aspects. It does make sense to predict that, with his bond broken, he wishes to move on.
Random theory: It is in Aedra's nature to only stay in a place for a time, which is why we see supposed gods dying in Nirn, because these aspects of them fade, and new ones arise. It on the other hand, is in Daedra's nature to stay static, to surround themselves with more aspects of themselves, mostly isolated, and enjoy playing with the toys inside themselves/their plane. Nirn is in a very real way Lorkhan's realm of Oblivion, but a realm, partially intentionally, pre-empted by Aedra, who wanted to avoid the losses of moving from one existance to another. He presumably wanted to add to his own power by absorbing Aedra into himself in one realm that was a combination of their existances, but mostly his, but he also could've been somewhat sincere in his offer to give t hem a place to stay inside of himself, although he didn't tell them the details. When the Aedra moved in and constructed the world, they eventually realized what the plane was, so, at the meeting in the white gold tower, they came to a decision. That they would punish/kill/cut into three, Lorkhan, that some could leave, but that the rest would stay, and attempt to make the best of the permanent world they now had. Since then, Lorkhan tried to make some aspect of himself whole again, the more powerful aedra have looked after the mer and their cultural descendants, but may have realized their nature, and consider it time to move on (which would destroy at least some aspect of Nirn). It is possible they'd be willing to take mer/Bretons with them, but not humans, which were created by Lorkhan, and are basically his lesser daedra.
Sidenote: Random conjecture, but if the above is correct, and Lorkhan were restored, then men would become immortal, much like lesser daedra are immortal. This also corresponds with the Nordish myths about Akatosh stealing away years.