True. But Dagon didn't have control over their creation, since they clearly existed before he came to rule them. For all we know, they may have had another form, and it's unlikely they achieved their current "mini Dagon" appearance without divine intervention.
Well, that's my understanding.
While I remain true to my point, you do make a good point. However, I suspect that the Dremora are just another type of lesser Daedra, or rather spirits, without a realm of their own, much like the Ehlonfey were a type of Aedra who didn't belong to a specific category, such as the Nine Divines.
EDIT: To quote the UESP on Dremora:
These Daedra are intelligent and powerful humanoid war spirits, generally in the service of Mehrunes Dagon, although this was not always so. The Dremora have both spellcasting and fighting abilities, and carry a range of high quality weaponry. They are immune to normal weapons and can reflect spells. The most powerful wear Daedric armor, the most powerful armor in existence. Lesser Dremoras appear to wear such armor, but only because they may freely choose their appearance. Dremora have a rigid caste structure, divided into many tiers. In hierarchical order, these are Churl, Caitiff, Kynval, Kynreeve, Kynmarcher, Markynaz, and Valkynaz. Powerful Dremora are sometimes called "Daedra Lords."
EDIT AGAIN: To again quote the UESP on Daedra:
Daedra are a class of divine beings that did not take part in the creation of the Mundus, and thus retain the full breadth of their power.