Sermon 3 quotes a Dwemer saying:

"They shall be our doom in this and the eight known worlds, http://uesp.net/wiki/Lore:Nirn, http://uesp.net/wiki/Lore:Lorkhan, http://uesp.net/wiki/Lore:Arkay, http://uesp.net/wiki/Lore:Stendarr, http://uesp.net/wiki/Lore:Kynareth, http://uesp.net/wiki/Lore:Akatosh, http://uesp.net/wiki/Lore:Mara and http://uesp.net/wiki/Lore:Julianos."

I don't know if that means Dwemer knew of those worlds, Vivec is just saying they did or Vivec actaully means that those really are or were the "eight known worlds". I assume it refers to the "solar system" for lack of better of expression, if nothing else. I admit that's just because Nirn is there.

Dibella and Zenithar aren't there. Why is that? I'm wondering if the two are any more aedric than Talos.

Dibella only appear in the Nordic, Imperial and Breton pantheons, all under the same name and I suspect that's because she is a loan goddess to the Cyrodiils and Bretons. Is she related to the blend sign (whatever that is) Daubella from the http://www.imperial-library.info/content/magne-ge-pantheon?

The origins of Zenithar's worship seem to be all over the place. Varieties mention "origins in both Argonian and Akaviri mythologies" for Z'en while Zeht is one of the two Yokudan gods whose name actually sounds like a similar Tamrielic one. No origins are suggested for Zenithar and I assume Cyrodiils adopted him from men in Black Marsh. I can't see how Tsun fits into this, let alone Xen. Not that anything is said about Xen in particular in the only sourse I've can think of him being in, the Altmeri creation story in The Monomyth. In the Nordic pantheon, it looks like Tsun is dead in the same sort of way Shor is, unlike other gods such as Kyne.

So where do they come from and what are they? If the "eight known worlds" are the seven planets plus Nirn's two moons, do Dibella and Zenithar have celestial bodies? If so, do they differ from the others and has that changed since the 1st Era dragon break?

Well, according to the Dwemer orrery in Oblivion, Dibella is the smallest planet, rotating around Mara, which in turn rotates around Zenithar, which is one of the biggest planets. But the orrery does not include LHKAN (which may or may not be fused under the two moons - Masser and Secunda). So yes, the Dwemer knew of these planets, recognizing eleven heavenly bodies in all (including Nirn). This comes remarkably close to the Twelve Worlds of Creation mentioned elsewhere. In any case, just some points to think on. I don't think that any of this really helps.

Edit: Twelve maybe if you count Mannimarco, which revolves around Arkay, although the Dwemer orrery does not recognize this celestial body).