But Daedra cannot die. Sure, his heart survived, but when daedra are banished, their hearts remain in their lifeless bodies.
They can die alright. I wouldn't know how I'd go about killing or soul trapping them if they couldn't.
But why do men and mer not retain their memories of past lives when they reincarnate?
The biggest difference between mortals and Daedra is the way they are immortal. Daedra once they've died their souls simply have to wait or find something akin to a wellspring. Mortals on the other hand live on through their children. Babies can't remember and so they forget.
The spirits that were left pleaded with Tall Papa to take them back. But grim Ruptga would not, and he told the spirits that they must learn new ways to follow the stars to the Far Shores now. If they could not, then they must live on through their children, which was not the same as before. - The world skin
Some had to marry and make children just to last. Each generation was weaker than the last, and soon there were Aldmer. - Heart of the World