Throughout Morrowind, the Nine may have intervened slightly with the Nerevarine. Talos blessed his journey to Red Mountain, and in a bandit cave, the Nerevarine has the option to free an incarnation of Kynareth.
There was also the avatar of Zenthar, and it was not Kynareth, it was Mara.
The issue with the aedra, compared to the daedra, is that the aedra willingly weakened themselves to create mundus, so they're probably too weak to directly intervene. Akatosh was able to do it, only because Martin allowed himself to be used as his avatar, along with the blood from the Amulet of Kings. It's probably a bit taxing on them to manifest an avatar on Nirn. Shor gets away with it a lot, for there are many times in Nirn history where there were the nords mantle him for a while, and smash some damn elves.