I believe that Mehrunes Dagon was supposedly "fully manifest" or whatever at the end of Oblivion, and he was still defeated. Sure, divine power was involved, but I think that's true of ESO's conclusion as well. Give me these set-in-stone rules which state Daedric princes are never defeated in their realm, and I'll agree that it's pushing previous lore quite a bit. But I seem to recall things that contradict that assertion, relating to protonymic business, Battlespire and the LAHS.
Anyway, consider what defeat really means here. Molag Bal still exists, no? I haven't played the game, so I don't know what the circumstances of his defeat are (which, from the sounds of it, makes more sense in terms of "what plays well" to be set in Coldharbour - else it's very very similar to Oblivion, already an issue). But story wise, it feels ok to me.
Also, Planemeld. Were you really in Coldharbour, or were you in the Coldharbour that was also Tamriel once? Not that there's any difference, if Bal's plans advanced far enough.