Volendrung is a Demer artifect. It's not Daedric and the Dwemer were famously non-religious.

Why does Malacath keep giving this away in TES games? I know he's not really a Daedra so he might have trouble creating his own artifects, but what connection does he have to Volendrung?

Some Daedric artifacts are not originally daedric, some of them are only claimed (not part of them), the Rouken clan of the dwemer were outcasts, which fits in the role of the orsimer (amd therefore Malacath) from the aldmer sorta. Though who really knows the intentions behind the lords of misrule?

Rouken outcasts. Good answer Rangerbob.

You're only an initiate? Or did Skyrim bring you back?

Spellbreaker is in the same situation. Daedra appearantly just like "stealing" artifacts...

I've been prowling around for a very long time on TIL and on these forums, I'm no lore buff compared to many posters here but I can say I know more than your average Skyrim General poster
and Spellbreaker is another good example, though I have no idea how it fits in with the lord of pestilence haha.

Immunity to magic... Maybe Perry thinks magic is a disease that he wants cured? Really I have no idea, i'm just guessing he thought it looked cool and claimed it when the Dwemer went poof

Peryite was mortal too at one point. Spellbreaker was made to fight against the Nords I think (actually the Chimer, Nords usually don't use magic). I know Shalidor fought against the Dwemer and spent many years trying to figure out how it worked. He eventually developed the spell Shalidor's Mirror aka Spell Reflection which I think also includes Wards.

It might just be gameplay mechanic, I never knew how Boethiah was related to Goldbrand; an artifact said to be created by dragons... though maybe he/she claimed Goldbrand from a champion for unknown reasons.
@Trillid source that Peryite was a mortal?
I always assumed the Spellbreaker was a defense against the daedric aligned chimer. Though there is no evidence.

The Dwemer didn't worship the Daedra. Maybe them giving Dwemer artifacts away is a divine's version of one-upping them.