Also I think why people are so used to Daedra is because of going into Oblivion, if you think about it other then a few caves their actually were no Daedra in the world of Cyrodiil.
Also, Skyrim, like Cyrodiil is a heavy "Imperial Cult" province. So not many of its people worship the Daedric Princes, whereas in say..Morrowind Daedra were worshipped all over and the "Divines" had little or no place there so it wasn't shocking to see a random Dremora or Clanfear just milling around a Daedric Shrine.
As for the absense of other "Oblivion" creatures you have to think of Skyrims climate, certain creatures wouldn't live in this type of area. Bears? Yes Dreugh? Not likely.