As far as we know, they were only http://www.uesp.net/wiki/Lore:Pocket_Guide_to_the_Empire,_3rd_Edition/Arena_Supermundus. And it sounds to me like they never made it.
Infinite= whatever the Temple-Zero Society decided to declare it. It's not like they have the means to distinguish between very very very very very large/heavy/far and infinite.
Why wouldnt they be able to use the same methods we used in figuring out our universe is finite?
Logic, backed by mathematical evidence.
Our universe is finite because it is dark at night. In other words, in an infinite universe at every possible gradient as seen from earth there must be a star. Wether they are further away or closer by, in an infinite universe the night sky would be much, much brighter. The mathematical proof is in debunking possible interjections to this, wich for instance show that even a dense cluster of gas blocking out starlight would not present such darkness as we have, would it truly be an infinite universe.
Another logical proof is that it is a given that the universe started a finite time ago and has since been expanding at a finite speed, and therefore cannot logically be infinite in size. And again this is backed by mathematics, and observations.
I suspect there must be a logical reasoning behind the descriptions of infinity. To me it sounds a bit like esotheric mathematics, with a lot of nestling infinities and all that jazz.
Hard to understand, because it is counter-intuitive, but with its own beauty.
The notion that gods are infinite in nature and when a limited mind is confronted with this it fails and translates it into something comprehensible is not, I think, that odd.
I think it is a bit wrong to state that just because an organisation is religious in nature they do not have the means or ability to get to the truth.
One must remember that in Tamriel, gods are very real. Wich, as Terry Pratchett said, would make being an atheist about as smart of a long term survival strategy as going for a walk in a thunderstorm with a large metal helmet on.