The fury of the divines can mean a lot of things. The first thing I thought about was the Dunmer themselves, but then I remembered it was Azura who cursed them, not the Aedra, who are mostly used in the same context as divine, but Azura is a god(dess) too. It could also mean the Orcs, but the Dunmer are more likely. The one who changed what he saw fit probably means Vivec, as he, Almalexia and Sotha Sil used the powers with good intentions. It is definitely somewhere near Vivec, though. His palace, the high fane, the moon, or the infamous puzzle canol (what a letdown that was. I figured I had to fight through hordes of Daedra. What really happens: You'll encounter one and must give him a silver longsword )

You're on the right track. it remains on the earth. you won't have to scour the moon. and it is outside.