Not sure but werent they Daedra-worshippers? No source to that but I got a feeling that they were.
It's important to distinguish between some and most.
The Nine Divines have their origin in both the Aldmeri pantheon of the Ayleid and the Nordic pantheon
http://www.imperial-library.info/obbooks/shezzardivines.shtml. This is a good indication that like all other Mer with the exception of the Dunmer the Ayleid venerated the Aedra, their ancestors.
This doesn't exclude them from bargaining and trafficking with the Daedra, they are after all their cousins nor does it exclude actual veneration but not on a large scale. This might best be compared with some of High Rocks nobility, though clearly followers of the Nine many have a summoning room to make their own bargains with the Daedra
http://www.imperial-library.info/dfbooks/b053_oblivion.shtml.