From Pelinal himself (skipping the parts where he just goes on and on about how svckish Umaril is):
Your prayers have woken me from my endless dream. Or perhaps you have entered my dream, and I still sleep. I think others have sometimes spoken to me, others like you, but my memory is doubtful. Perhaps the others came after you... All that has passed since my death is like mist that my mind cannot take hold of...
The other Knights were all ghosts with unfinished business and/or were bound to Mundus until their wrongs had been righted.
I've done some digging, and found this
excellent explanation from proweler, a few years back (apologies if the formatting comes out wonky):
Arkay is the God of the cycle of life and death. We're born from the dreamsleeve and return to it on death in an endless cycle that is always new.
Birth:
We mortals leave the dreaming-sleeve of birth the same, unmantled save for the symbiosis with our mothers, thus to practice and thus to rapprochement, until finally we might through new eyes leave our hearths without need or fear that she remains behind. In this moment we destroy her forever and enter the demesne of Lord Dagon. - Mythic Dawn Commentaries
Mortals leave the dreaming-sleeve of birth, without any divinity (unmantled) safe for the symbiosis with the special divinity of Nirn (our mother, Mankar wan't to destroy Nirn).
The powers also created Red Tower and the First Stone. This allowed the Mundus to exist without the full presence of the divine. In this way, the powers of Ada-mantia granted the Mundus a special kind of divinity, which is called NIRN, the consequence of variable fate. - Nu-Mantia Intercept
This special divinity comes back in the intercept, Red Mountain (tower) holds Lorkhan's Heart (stone). Lorkhan's heart is also called the divine spark, our shared divinity. As such, we already much like the Daedra, we're separate parts of a larger divinity.
Death:
When people from different cultures all believe in an afterlife and all seem to get exactly what they expect, it is reasonable to assume that their experiences are influenced by their expectations. The Nords believe they go to a place called Sovngarde which can be translated as to a meaning that means as much as the Dreamsleeve, the sleep-enclosure. So we're already back the start.
"The echo of the Void is Oblivion. The echo of Oblivion is now mortal death. Death results in reappropriation of spirit towards its aligned AE?"either to the god-planet Aedra or the Principalities of Oblivion. Vehk’s name for this transaction, mentioned above, is “lunar currency”." - Loveletter from the Fifth Era
This shouldn't be read as some Heaven and Hell afterlife were people who've done enough bad things end up in Oblivion. The AE literally is a connector and in the sermons it is often used as: "AYEM AE VEHK AE SETH", Almelexia and Vivec and Sotha Sil, Almsivi.
This connection is the soul. Normally, when a person is killed he experiences afterlife, when a Daedra is slain he experiences the void. A soul trap can force the soul to remain connected to a soulgem and a Necromancer can call back souls and force them to animate a body again.
Ghosts can return out of their free will if they have something that binds them, but often you'll see that they've already started to disintegrate and are starting to lose their memories and thoughts while they're being mangled and stripped from their identity in the dreamsleeve.
As I've already shown above, mortals are born from the dreamsleeve, it's their to their divinity so their allinged AE goes to Mundus and while the God planets of the Aedra are often interpreted as Aetherius, they are part of Mundus, they are the gift limbs.
It's also what allows Mankar Camoran to pick up his followers in his Paradise, they've given up Mundus ("destroy her forever") and become part of Mehrunes Dagon ("enter the demesne of Lord Dagon")
In addition what I didn't touch on here was the connection to aligned AE that the Loveletter mentions.
The Dreamsleeve is part of Mundus, but the lesser Daedra are bound to their Prince or to their own plane(t) orbiting the plane(t) of their Prince. This connection seems to be without the soft forgetfulness of the Dreamsleeve as each Daedra fears the experience (see: Spirit of the Daedra).
Now it's possible for someone to change this connection. In one of the dead-endings in Battlespire you could sell your soul to one of Mehrunes Captains, Umaril bartered his away with Meridia. Mankar suggests doing the same for Dagon.