They[The family] volunteered willingly.
Weak in death? We have no sources on Vampires being punished in the afterlife. We do know that they exist on Nirn as undead. We also know little on Molag Bal's mortal champions whom never become vampires, but still undertake his "training" regime.
Molag Bal teaches us to never be prideful and arrogant. That in the end, we are all flesh. And in this understanding of our weakness, we can still become powerful. Mehrunes Dagon teaches us to be proud of whom we are. To relish in what little power we do have, and to use it without fear. No matter how weak we are, we can bring change, and destruction. That we should aspire to our egotistical desires.
Worship both at once, and you're a well-balanced don't-want-to-mess-with-this-guy guy/girl.