Well....for a time, the College of Imperial Battlemages was located in a pocket realm of Oblivion. Mehrunes Dagon eventually overtook that though.
I guess it's
possible certain intelligent lower Daedra such as Dremora have their own guilds and societal structure. They certainly have
castes and
division of labor, with some acting as warriors, some as jailors, sorcerers, archers etc. even a few nobility. So why not guilds for Dremora? I guess they'd serve similar purposes to guilds on Nirn, to advance a daedra's skills in whatever profession he chooses and perhaps to accumulate their version of wealth and fame. Similar societal structures could exist for other intelligent daedra such as Aureal and Mazken.