"Good" and "Evil" are very relative terms, especially to Daedra Princes.
Lorkhan is really more aligned with Mortal men and usually in the lore is diametrically opposed to the Gods of the Elves. The great thing about the lore has always been so many different ways of seeing the motivations of the Princes.
The Daedra are really about change and really don't want to see the Mundus destroyed. Even Dagon whose sphere is destruction has more to do with the changes brought about by those forces, rather than the ultimate destruction of Nirn.
Besides what would the immortal Daedra do with their eternities if they didn't have the mortal world to mess with
