This might seem dense but it's a couple of years since I played Morrowind and I was standing outside The Cavern of The Incarnate for ages waiting for "the star" to appear...of course I got inside because the door is always open 6-8am & 6-8pm but I never saw any star in the sky, is this just one of those implied things?

No, the sky does not actually change.

Azura rules over the dusk and dawn, and I think it's implied that this is when her star is the brightest in the sky.

Thanks for confirming my suspicion