Does Molag Bal get your spirit when you become a Pure blood/ thin blooded Vampire?

Just wondering. It would sound as though you exchange your spirit for immortality of the flesh if thats how it works.

It works much better than Oblivion.

And yes, that is pretty much how it works unless you're devote to multiple Princes? Though imo it seems that being a Vampire kind of takes precedence over being the guy who retreived your lucky trinket.

Depends. The current Volkahir branch of vampires seem to be Bal's personal strain, but unlike Hircine and his lycanthropes, he doesn't have a monopoly on the trade. Vile has his own strain of vampirism, Varemina dabbles in it given Bal had to pry a cure from her in Morrowind, and given the many different clans showing unique and otherwise strange abilities, you have a whole host of potential sources. Daughters of Coldharbor and kin that pledge their own allegiance to them might get in, but I don't think its a guarantee you'll end up in his clutches.

IIRC, you can still capture their souls, albeit I forget if they're categorized as white or black in Skyrim. I figure you're offering someone elses soul so whatever power at work can purge your own.

So vampirism is just something the daedra ( Molag Bal and Clavicus Vile) made to spite Arkay than?

Bal's case is in part of his desecration of his original victim, so I don't particularly think he did it for any other reason then because he could, though it could very well be a mockery of the natural life cycle on Nirn. Vile is a different since we don't know what sort of deal prompted him to create/modify his own strain, though I wager it was at a mortals/other vampires behest. Vile doesn't do anything for nothing after all.